Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation /
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 ri...
Saved in:
| Corporate Author: | |
|---|---|
| Other Authors: | , , , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
|
| Series: | Springer Proceedings in Mathematics & Statistics,
165 |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1007/978-3-319-33446-2 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
MARC
| LEADER | 00000nam a22000005i 4500 | ||
|---|---|---|---|
| 001 | 978-3-319-33446-2 | ||
| 003 | DE-He213 | ||
| 005 | 20180131132532.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 161202s2016 gw | s |||| 0|eng d | ||
| 020 | |a 9783319334462 |9 978-3-319-33446-2 | ||
| 024 | 7 | |a 10.1007/978-3-319-33446-2 |2 doi | |
| 050 | 4 | |a HB135-147 | |
| 072 | 7 | |a KF |2 bicssc | |
| 072 | 7 | |a MAT003000 |2 bisacsh | |
| 072 | 7 | |a BUS027000 |2 bisacsh | |
| 082 | 0 | 4 | |a 519 |2 23 |
| 245 | 1 | 0 | |a Innovations in Derivatives Markets |h [electronic resource] : |b Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation / |c edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst. |
| 264 | 1 | |a Cham : |b Springer International Publishing : |b Imprint: Springer, |c 2016. | |
| 300 | |a X, 449 p. 68 illus., 43 illus. in color. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a Springer Proceedings in Mathematics & Statistics, |x 2194-1009 ; |v 165 | |
| 505 | 0 | |a Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. . | |
| 506 | 0 | |a Open Access | |
| 520 | |a 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. . | ||
| 650 | 0 | |a Mathematics. | |
| 650 | 0 | |a Banks and banking. | |
| 650 | 0 | |a Financial engineering. | |
| 650 | 0 | |a Economics, Mathematical. | |
| 650 | 0 | |a Mathematical models. | |
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Statistics. | |
| 650 | 1 | 4 | |a Mathematics. |
| 650 | 2 | 4 | |a Quantitative Finance. |
| 650 | 2 | 4 | |a Banking. |
| 650 | 2 | 4 | |a Statistics for Business/Economics/Mathematical Finance/Insurance. |
| 650 | 2 | 4 | |a Mathematical Modeling and Industrial Mathematics. |
| 650 | 2 | 4 | |a Probability Theory and Stochastic Processes. |
| 650 | 2 | 4 | |a Financial Engineering. |
| 700 | 1 | |a Glau, Kathrin. |e editor. | |
| 700 | 1 | |a Grbac, Zorana. |e editor. | |
| 700 | 1 | |a Scherer, Matthias. |e editor. | |
| 700 | 1 | |a Zagst, Rudi. |e editor. | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer eBooks | |
| 776 | 0 | 8 | |i Printed edition: |z 9783319334455 |
| 830 | 0 | |a Springer Proceedings in Mathematics & Statistics, |x 2194-1009 ; |v 165 | |
| 856 | 4 | 0 | |u http://dx.doi.org/10.1007/978-3-319-33446-2 |
| 912 | |a ZDB-2-SMA | ||
| 950 | |a Mathematics and Statistics (Springer-11649) | ||
| 999 | |c 188940 |d 188940 | ||