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Derivatives: Theory and Practice of Trading, Valuation, and Risk Management by Jirí Witzany

Derivatives: Theory and Practice of Trading, Valuation, and Risk Management

by Jiří Witzany
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Book cover type: Paperback
  • ISBN13: 9783030517533
  • Binding: Paperback
  • Subject: Business Management
  • Publisher: Springer Verlag
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 388
  • Original Price: EUR 89.99
  • Language: English
  • Edition: N/A
  • Item Weight: 540 grams
  • BISAC Subject(s): Finance / General, Applied, and Corporate Finance / General

From the Back Cover
This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.

Jiří Witzany is a professor at the Faculty of Finance and Accounting, University of Economics, Prague (Czech Republic). Prior to his work in Prague, he was an Assistant Professor of Mathematics at the University of California (LA, USA) and later worked as the Market and Credit Risk Manager in the major Czech bank Komerční Banka (Société Générale Group). Currently, he teaches courses in financial derivatives, quantitative finance and credit risk modeling for students of financial engineering, finance and financial mathematics. He is also active as a consultant on credit and market risk management including financial derivatives valuation for major Czech and international banks. He is the author or co-author of several monographs and a number of articles in financial or mathematical peer-reviewed journals.

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