Titlebook: Derivatives; Theory and Practice Jiří Witzany Textbook 2020 The Editor(s) (if applicable) and The Author(s), under exclusive license to Sp

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Interest Rate Derivatives,rest rate derivative contracts. We focus on the trading mechanics, hedging, and valuation of the plain vanilla derivatives such as forward rate agreements (FRA), short-term, and (STIR) long-term interest rate (LTIR) futures, interest rate swaps (IRS), and cross-currency swaps (CCS).

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https://doi.org/10.1007/978-3-662-11724-8age-free and perfectly liquid market. This relationship turns out to be weaker for consumption storable assets, and in particular for non-storable assets such as electricity or some agricultural commodities. In this chapter, we will also discuss how to use forwards and futures to hedge risk in various positions and portfolios.

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Computergestützte Informationssystemehow value options in the relatively elementary framework of binomial trees and in the theoretically more advanced context of stochastic asset price modeling. The last section will look at the issue of option portfolio hedging using the concept of so-called Greek letters.

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Option Markets, Valuation, and Hedging,how value options in the relatively elementary framework of binomial trees and in the theoretically more advanced context of stochastic asset price modeling. The last section will look at the issue of option portfolio hedging using the concept of so-called Greek letters.

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https://doi.org/10.1007/978-3-662-07173-1 closely related to many bank failures and even many financial crises, including the global financial crisis of 2007–2008. This chapter will introduce the basic derivative product types and provide a detailed overview of the derivative markets’ institutional framework and their recent developments.

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https://doi.org/10.1007/978-3-322-91668-6location. Market risk management, in particular in case of OTC derivatives, is also closely related to the counterparty credit risk management and measurement in terms of CVA (Credit Valuation Adjustment) that will be in detail discussed in the last section of this chapter.

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PAC

Textbook 2020MC 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..