Derivatives, Risk Management & Value

This book covers the fundamental concepts of financial markets and asset pricing, including hedging, arbitrage, speculation across different markets, classical models for the pricing of simple and complex derivatives, mathematical foundations, and the real-time management and monitoring of derivative portfolios. It also explores topics such as financial markets and instruments, and option pricing models and theory. Written in a clear and accessible style, and amply supported by real-world examples, the book will be of interest to students, academics, and practitioners alike.This second edition features ten new chapters dedicated to risk management in banking and insurance. The new material offers an in-depth analysis of the fundamentals of risk management; market, investment, and credit risks (corporate and retail); credit risk management policies and tools; retail lending policies; operational risk management in light of the Basel III recommendations; IFRS 9 impairments; capital management; the Internal Capital Adequacy Assessment Process (ICAAP); and the regulatory requirements for stress testing. Drawing on the author's extensive professional experience, the chapters explain not only the theory but also the policies and procedures that underpin effective risk management practice.