Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation (Volume 165.0)
eBook - PDF

Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation (Volume 165.0)

  1. English
  2. PDF
  3. Available on iOS & Android
eBook - PDF

Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation (Volume 165.0)

About this book

Quantitative Finance; Banking; Statistics for Business/Economics/Mathematical Finance/Insurance; Mathematical Modelling and Industrial Mathematics; Probability Theory and Stochastic Processes; Financial Engineering

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Yes, you can access Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation (Volume 165.0) by Kathrin Glau, Matthias Scherer, Zorana Grbac in PDF and/or ePUB format, as well as other popular books in Technology & Engineering & Chemical & Biochemical Engineering. We have over one million books available in our catalogue for you to explore.

Table of contents

  1. Preface
  2. Foreword
  3. Contents
  4. Part I Valuation Adjustments
  5. Nonlinearity Valuation Adjustment
  6. Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
  7. Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives
  8. Tight Semi-model-free Bounds on (Bilateral) CVA
  9. CVA with Wrong-Way Risk in the Presence of Early Exercise
  10. Simultaneous Hedging of Regulatory and Accounting CVA
  11. Capital Optimization Through an Innovative CVA Hedge
  12. FVA and Electricity Bill Valuation Adjustment---Much of a Difference?
  13. Part II Fixed Income Modeling
  14. Multi-curve Modelling Using Trees
  15. Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model
  16. Multi-curve Construction
  17. Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
  18. A Generalized Intensity-Based Framework for Single-Name Credit Risk
  19. Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
  20. Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis
  21. Part III Financial Engineering
  22. Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
  23. Pricing Shared-Loss Hedge Fund Fee Structures
  24. Negative Basis Measurement: Finding the Holy Scale
  25. The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos
  26. The Impact of Cointegration on Commodity Spread Options
  27. The Dynamic Correlation Model and Its Application to the Heston Model