The Resource Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, (electronic resource)

Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, (electronic resource)

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
edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
Contributor
Editor
Editor
Subject
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
Dewey number
519
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsedt
  • ttOx_6ycV2E
  • R6Wt4Rot5kA
  • j11DMH4hWE8
  • 8yc3a3e09QU
Image bit depth
0
LC call number
HB135-147
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Glau, Kathrin.
  • Grbac, Zorana.
  • Scherer, Matthias.
  • Zagst, Rudi.
Series statement
Springer Proceedings in Mathematics & Statistics,
Series volume
165
http://library.link/vocab/subjectName
  • Finance
  • Banks and banking
  • Statistics
  • Distribution (Probability theory
  • Financial engineering
  • Quantitative Finance
  • Banking
  • Statistics for Business, Management, Economics, Finance, Insurance
  • Mathematical Modeling and Industrial Mathematics
  • Probability Theory and Stochastic Processes
  • Financial Engineering
Label
Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
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.
Dimensions
unknown
Edition
1st ed. 2016.
Extent
1 online resource (X, 449 p. 68 illus., 43 illus. in color.)
File format
multiple file formats
Form of item
online
Governing access note
Open Access
Isbn
9783319334462
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-33446-2
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)3710000001006473
  • (DE-He213)978-3-319-33446-2
  • (EXLCZ)993710000001006473
Label
Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, (electronic resource)
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
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.
Dimensions
unknown
Edition
1st ed. 2016.
Extent
1 online resource (X, 449 p. 68 illus., 43 illus. in color.)
File format
multiple file formats
Form of item
online
Governing access note
Open Access
Isbn
9783319334462
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-319-33446-2
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
  • (CKB)3710000001006473
  • (DE-He213)978-3-319-33446-2
  • (EXLCZ)993710000001006473

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