The Resource Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation, Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors

Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation, Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors

Label
Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation
Title
Innovations in derivatives markets
Title remainder
fixed income modeling, valuation adjustments, risk management, and regulation
Statement of responsibility
Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors
Contributor
Editor
Subject
Genre
Language
eng
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
Member of
Cataloging source
GW5XE
Dewey number
332.63/2
Illustrations
illustrations
Index
no index present
Language note
English
LC call number
HG6024.A3
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorDate
  • 1979-
  • 1961-
http://library.link/vocab/relatedWorkOrContributorName
  • Glau, Kathrin
  • Grbac, Zorana
  • Scherer, Matthias
  • Zagst, Rudi
Series statement
Springer proceedings in mathematics & statistics,
Series volume
volume 165
http://library.link/vocab/subjectName
  • Derivative securities
  • Banking
  • Probability & statistics
  • Mathematical modelling
  • Finance
  • Finance & accounting
  • Business & Economics
  • Business & Economics
  • Mathematics
  • Mathematics
  • Derivative securities
Label
Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation, Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors
Instantiates
Publication
Antecedent source
unknown
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering
Control code
967654318
Dimensions
unknown
Extent
1 online resource (x, 449 pages)
File format
unknown
Form of item
online
Isbn
9783319334462
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-33446-2
Other physical details
illustrations (some color)
http://library.link/vocab/ext/overdrive/overdriveId
com.springer.onix.9783319334462
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)967654318
Label
Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation, Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors
Publication
Antecedent source
unknown
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering
Control code
967654318
Dimensions
unknown
Extent
1 online resource (x, 449 pages)
File format
unknown
Form of item
online
Isbn
9783319334462
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-33446-2
Other physical details
illustrations (some color)
http://library.link/vocab/ext/overdrive/overdriveId
com.springer.onix.9783319334462
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)967654318

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