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

Language: English

Published by Springer, 2016

331933445X / 9783319334455

Series: Book 186 of 464 - Springer Proceedings in Mathematics & Statistics

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783319334455

Title
Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
Author
Matthias Scherer
Publisher
Springer
Publication year
2016
Condition
Neu
Binding
Buch
Language
English
ISBN 10
331933445X
ISBN 13
9783319334455
Item weight
852 grams
Dimensions
241x160x31 mm
Series
Book 186 of 464: Springer Proceedings in Mathematics & Statistics

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

Shipping rates from Germany to U.S.A.

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