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Innovations in Derivatives Markets = Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Innovations in Derivatives Markets/ edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst.
其他題名:	Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation /
其他作者:	Glau, Kathrin.
面頁冊數:	X, 449 p. 68 illus., 43 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Economics, Mathematical . -
電子資源:	https://doi.org/10.1007/978-3-319-33446-2
ISBN:	9783319334462

Innovations in Derivatives Markets = Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation /
Innovations in Derivatives MarketsFixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation /[electronic resource] :edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst. - 1st ed. 2016. - X, 449 p. 68 illus., 43 illus. in color.online resource. - Springer Proceedings in Mathematics & Statistics,1652194-1009 ;. - Springer Proceedings in Mathematics & Statistics,125.

Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. .

Open Access

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. .

ISBN: 9783319334462

Standard No.: 10.1007/978-3-319-33446-2doiSubjects--Topical Terms:

1253712
Economics, Mathematical .

LC Class. No.: HB135-147

Dewey Class. No.: 519

Innovations in Derivatives Markets = Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation /
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