Innovations in Derivatives Markets
Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
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- 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. 
Book Description
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.
This open book is licensed under a Creative Commons License (CC BY). You can download Innovations in Derivatives Markets ebook for free in PDF format (8.7 MB).
Book Details
Title
Innovations in Derivatives Markets
Subject
Science and Mathematics
Publisher
Springer
Published
2016
Pages
446
Edition
1
Language
English
ISBN13
9783319334455
ISBN10
331933445X
ISBN13 Digital
9783319334462
ISBN10 Digital
3319334468
PDF Size
8.7 MB
License
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