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Book/Printed Material Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

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About this Item

Title

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

Summary

  • 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.

Names

  • Glau, Kathrin, editor.
  • Grbac, Zorana, editor.
  • Scherer, Matthias, editor.
  • Zagst, Rudi, editor.

Created / Published

  • Cham : Springer International Publishing : Imprint: Springer, 2016.

Contents

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

Headings

  • -  Banks and banking
  • -  Economics, Mathematical
  • -  Financial engineering
  • -  Mathematical models
  • -  Probabilities
  • -  Statistics
  • -  Quantitative Finance
  • -  Banking
  • -  Financial Engineering
  • -  Mathematical Modeling and Industrial Mathematics
  • -  Probability Theory and Stochastic Processes
  • -  Statistics for Business, Management, Economics, Finance, Insurance

Notes

  • -  Description based on publisher-supplied MARC data.
  • -  Mathematics and Statistics (R0) (SpringerNature-43713)
  • -  Mathematics and Statistics (SpringerNature-11649)

Medium

  • 1 online resource (X, 449 pages 68 illustrations, 43 illustrations in color.)

Digital Id

Library of Congress Control Number

  • 2019763209

Rights Advisory

Access Advisory

  • Unrestricted online access
  • Open Access

Online Format

  • image
  • epub

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Rights & Access

The books in this collection are licensed under open access licenses allowing for the reuse and distribution of each book following the terms described in each license. Researchers should consult the Rights Advisory statement for each title and the accompanying license details for information about rights and permissions associated with each of the licenses.

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Cite This Item

Citations are generated automatically from bibliographic data as a convenience, and may not be complete or accurate.

Chicago citation style:

Glau, Kathrin, Zorana Grbac, Matthias Scherer, and Rudi Zagst, editor. Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation. Cham: Springer International Publishing: Imprint: Springer, 2016. Image. https://aj.sunback.homes/item/2019763209/.

APA citation style:

Glau, K., Grbac, Z., Scherer, M. & Zagst, R., editor. (2016) Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation. Cham: Springer International Publishing: Imprint: Springer. [Image] Retrieved from the Library of Congress, https://aj.sunback.homes/item/2019763209/.

MLA citation style:

Glau, Kathrin, et al., editor. Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation. Cham: Springer International Publishing: Imprint: Springer, 2016. Image. Retrieved from the Library of Congress, <aj.sunback.homes/item/2019763209/>.