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|a 9783319334462
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| 100 |
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|a Glau, Kathrin
|e [editor]
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| 245 |
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|a Innovations in Derivatives Markets
|h Elektronische Ressource
|b Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
|c edited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
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| 250 |
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|a 1st ed. 2016
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| 260 |
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|a Cham
|b Springer International Publishing
|c 2016, 2016
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| 300 |
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|a X, 449 p. 68 illus., 43 illus. in color
|b online resource
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| 505 |
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|a Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering.
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| 653 |
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|a Financial Services
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| 653 |
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|a Mathematics in Business, Economics and Finance
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| 653 |
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|a Statistics
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| 653 |
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|a Financial engineering
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| 653 |
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|a Probability Theory
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| 653 |
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|a Statistics in Business, Management, Economics, Finance, Insurance
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| 653 |
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|a Social sciences / Mathematics
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| 653 |
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|a Mathematical Modeling and Industrial Mathematics
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| 653 |
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|a Financial services industry
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| 653 |
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|a Financial Engineering
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| 653 |
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|a Probabilities
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| 653 |
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|a Mathematical models
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| 700 |
1 |
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|a Grbac, Zorana
|e [editor]
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| 700 |
1 |
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|a Scherer, Matthias
|e [editor]
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| 700 |
1 |
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|a Zagst, Rudi
|e [editor]
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b Springer
|a Springer eBooks 2005-
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| 490 |
0 |
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|a Springer Proceedings in Mathematics & Statistics
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| 028 |
5 |
0 |
|a 10.1007/978-3-319-33446-2
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| 856 |
4 |
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|u https://doi.org/10.1007/978-3-319-33446-2?nosfx=y
|x Verlag
|3 Volltext
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| 082 |
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|a 519
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| 520 |
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|a 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.
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