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Valuation in a world of CVA, DVA, an...

Smith, Donald J., (1947-)

Valuation in a world of CVA, DVA, and FVA = a tutorial on debt securities and interest rate derivatives /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Valuation in a world of CVA, DVA, and FVA/ Donald J. Smith.
Reminder of title:	a tutorial on debt securities and interest rate derivatives /
Author:	Smith, Donald J.,
Published:	Singapore ;World Scientific, : c2018.,
Description:	1 online resource (xviii, 207 p.)
Subject:	Bonds - Valuation. -
Online resource:	http://www.worldscientific.com/worldscibooks/10.1142/10511#t=toc
ISBN:	9789813222755

Valuation in a world of CVA, DVA, and FVA = a tutorial on debt securities and interest rate derivatives /
Smith, Donald J.,1947-

Valuation in a world of CVA, DVA, and FVAa tutorial on debt securities and interest rate derivatives /[electronic resource] :Donald J. Smith. - 1st ed. - Singapore ;World Scientific,c2018. - 1 online resource (xviii, 207 p.)

Includes bibliographical references.

Introduction -- An introduction to the XVA and bond valuation using a binomial tree -- Valuing traditional fixed-rate corporate bonds -- Valuing floating-rate notes and interest rate caps and floors -- Valuing fixed-income bonds having embedded call and put options -- Valuing interest rate swaps with CVA and DVA -- Valuing an interest rate swap portfolio with CVA, DVA, and FVA -- Structured notes -- Summary -- Appendix: The forward rate binomial tree model -- References.

ISBN: 9789813222755

LCCN: 2017020714Subjects--Topical Terms:

1236422
Bonds
--Valuation.

LC Class. No.: HG4651 / .S573 2018

Dewey Class. No.: 332.63/23

Valuation in a world of CVA, DVA, and FVA = a tutorial on debt securities and interest rate derivatives /
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006 m o d
007 cr cn|||||||||
008 200620s2018 si ob 000 0 eng
010 $a 2017020714
020 $a 9789813222755 $q (electronic bk.)
020 $z 9789813222748
020 $z 9789813224162 $q (pbk.)
035 $a 19772215
040 $a DLC $b eng $c DLC $d DLC
050 0 0 $a HG4651 $b .S573 2018
082 0 0 $a 332.63/23 $2 23
100 1 $a Smith, Donald J., $d 1947- $3 839264
245 1 0 $a Valuation in a world of CVA, DVA, and FVA $h [electronic resource] : $b a tutorial on debt securities and interest rate derivatives / $c Donald J. Smith.
250 $a 1st ed.
260 $a Singapore ; $a New Jersey : $b World Scientific, $c c2018.
300 $a 1 online resource (xviii, 207 p.)
504 $a Includes bibliographical references.
505 0 $a Introduction -- An introduction to the XVA and bond valuation using a binomial tree -- Valuing traditional fixed-rate corporate bonds -- Valuing floating-rate notes and interest rate caps and floors -- Valuing fixed-income bonds having embedded call and put options -- Valuing interest rate swaps with CVA and DVA -- Valuing an interest rate swap portfolio with CVA, DVA, and FVA -- Structured notes -- Summary -- Appendix: The forward rate binomial tree model -- References.
588 $a Description based on print version record.
650 0 $a Bonds $x Valuation. $3 1236422
650 0 $a Derivative securities $x Valuation. $3 716376
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/10511#t=toc

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