| 书目名称 | Innovations in Derivatives Markets | | 副标题 | Fixed Income Modelin | | 编辑 | Kathrin Glau,Zorana Grbac,Rudi Zagst | | 视频video | | | 概述 | Explores recent developments in derivative pricing, fixed-income and interest rate modeling.Casts new light on counterparty and liquidity risk in a global derivatives market with a special focus on va | | 丛书名称 | Springer Proceedings in Mathematics & Statistics | | 图书封面 |  | | 描述 | .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 | | 出版日期 | Conference proceedings‘‘‘‘‘‘‘‘ 2016 | | 关键词 | 91G20, 91G30, 91G40, 60H30, 60G15, 60G44; counterparty credit risk; valuation adjustments; multi-curve | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-319-33446-2 | | isbn_softcover | 978-3-319-81514-5 | | isbn_ebook | 978-3-319-33446-2Series ISSN 2194-1009 Series E-ISSN 2194-1017 | | issn_series | 2194-1009 | | copyright | The Editor(s) (if applicable) and The Author(s) 2016 |
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发表于 2025-3-21 16:47:59
