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＜電子ブック＞
Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation / edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
(Springer Proceedings in Mathematics & Statistics. ISSN:21941017 ; 165)

版	1st ed. 2016.
出版者	(Cham : Springer International Publishing : Imprint: Springer)
出版年	2016
本文言語	英語
大きさ	X, 449 p. 68 illus., 43 illus. in color : online resource
著者標目	Glau, Kathrin editor Grbac, Zorana editor Scherer, Matthias editor Zagst, Rudi editor SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Financial services industry LCSH:Statistics  LCSH:Mathematical models LCSH:Probabilities LCSH:Financial engineering FREE:Mathematics in Business, Economics and Finance FREE:Financial Services FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Mathematical Modeling and Industrial Mathematics FREE:Probability Theory FREE:Financial Engineering
一般注記	Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. Open Access 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. Apanel 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. HTTP:URL=https://doi.org/10.1007/978-3-319-33446-2

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