Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
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The work Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
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Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
Resource Information
The work Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
 Label
 Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
 Title remainder
 Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
 Statement of responsibility
 edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
 Subject

 Mathematical Modeling and Industrial Mathematics
 Financial Engineering
 Economics, Mathematical
 Probability Theory and Stochastic Processes
 Economics, Mathematical
 Probabilities
 Mathematical models
 Statistics for Business/Economics/Mathematical Finance/Insurance
 Financial engineering
 Statistics
 Banks and banking
 Probabilities
 Statistics
 Mathematical models
 Electronic resources
 Quantitative Finance
 Banks and banking
 Mathematics
 Financial Engineering
 Mathematics
 Banking
 Financial engineering
 Language
 eng
 Summary
 This book presents 20 peerreviewed 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 fixedincome markets and multicurve interestrate 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
 Image bit depth
 0
 LC call number
 HB135147
 Literary form
 non fiction
 Series statement
 Springer Proceedings in Mathematics & Statistics,
 Series volume
 165
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