000 03591nam a22006135i 4500
001 978-3-319-33446-2
003 DE-He213
005 20190313085134.0
007 cr nn 008mamaa
008 161202s2016 gw | s |||| 0|eng d
020 _a9783319334462
_9978-3-319-33446-2
024 7 _a10.1007/978-3-319-33446-2
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
245 1 0 _aInnovations in Derivatives Markets
_h[electronic resource] :
_bFixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation /
_cedited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2016.
300 _aX, 449 p. 68 illus., 43 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Proceedings in Mathematics & Statistics,
_x2194-1009 ;
_v165
505 0 _aForeword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. .
506 0 _aOpen Access
520 _aThis 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. .
650 0 _aMathematics.
650 0 _aBanks and banking.
650 0 _aFinancial engineering.
650 0 _aEconomics, Mathematical.
650 0 _aMathematical models.
650 0 _aProbabilities.
650 0 _aStatistics.
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aBanking.
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
650 2 4 _aMathematical Modeling and Industrial Mathematics.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aFinancial Engineering.
700 1 _aGlau, Kathrin.
_eeditor.
700 1 _aGrbac, Zorana.
_eeditor.
700 1 _aScherer, Matthias.
_eeditor.
700 1 _aZagst, Rudi.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783319334455
830 0 _aSpringer Proceedings in Mathematics & Statistics,
_x2194-1009 ;
_v165
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-319-33446-2
912 _aZDB-2-SMA
999 _c48400
_d48400