000 | 03591nam a22006135i 4500 | ||
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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 |
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024 | 7 |
_a10.1007/978-3-319-33446-2 _2doi |
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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. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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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 |