Stochastic Interest Rates and the Standard Market Model
In Chap. 4 , we have presented the Black-Scholes option valuation model that has become a market standard. However, the model has several limiting assumptions including the one saying that the instantaneous interest rates are constant. But the interest r
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Jiří Witzany
Derivatives Theory and Practice of Trading, Valuation, and Risk Management
Springer Texts in Business and Economics
Springer Texts in Business and Economics (STBE) delivers high-quality instructional content for undergraduates and graduates in all areas of Business/Management Science and Economics. The series is comprised of self-contained books with a broad and comprehensive coverage that are suitable for class as well as for individual self-study. All texts are authored by established experts in their fields and offer a solid methodological background, often accompanied by problems and exercises.
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Jiří Witzany
Derivatives Theory and Practice of Trading, Valuation, and Risk Management
Jiří Witzany Faculty of Finance & Accounting University of Economics Prague Prague, Czech Republic
ISSN 2192-4333 ISSN 2192-4341 (electronic) Springer Texts in Business and Economics ISBN 978-3-030-51750-2 ISBN 978-3-030-51751-9 (eBook) https://doi.org/10.1007/978-3-030-51751-9 # The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2020 This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors, and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, expressed or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. This Springer imprint is published by the registered company Springer Nature Switzerland AG. The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
Preface
The goal of this book is to cover basic and advanced topics in the valuation and modeling of (financial and commodity) derivatives, their institutional framework, and their risk management. It is dedicated mainly to graduate students and financial markets practitioners, but it may also be of interest to researchers in the fields of derivatives valuation, stochastic modeling, and risk management. The book is based on its preceding version, Witzany (2013b)
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