About this Textbook 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.
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.
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 theory and practice of options trading of several monographs and a number of articles in financial or mathematical peer-reviewed journals.