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ISBN: 0470821094, 9780470821091Издательство: John Wiley & Sons
Volume 1 consists of 4 Parts divided into 16 Chapters covering the role and function of derivatives, basic derivative instruments [exchange traded products (futures and options on futures contracts) and over-the-counter products(forwards, options and swaps)], the pricing and valuation of derivative instruments, and derivative trading and portfolio management. Volume 2 consists of 8 Parts and 18 Chapters covering risk management, market risk metodologies (including VAR and stress testing), credit risk in derivative transactions, other derivative trading risks (liquidity risk, model risk and operational risk), organizational aspects of risk management and operational aspects of derivative trading. The volume also covers documentation/legal aspects of derivative transactions (including the ISDA documentary framework), accounting treatment (including FASB 133 and IAS 39 issues), taxation aspects and regulatory aspects of derivative trading affecting banks and securities...