Quantitative analysis, derivatives modeling, and trading strategies: in the presence of counterparty credit risk for fixed-income market
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hackensack, NJ
World Scientific Pub.
c2007
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references (p. [479]-489) and index PART I THEORY AND APPLICATIONS OF DERIVATIVES MODELING; Chapter 1 Introduction to Counterparty Credit Risk; Preface; Chapter 2 Martingale Arbitrage Pricing in Real Market; Chapter 3 The Black-Scholes Framework and Extensions; Chapter 4 Martingale Resampling and Interpolation; Chapter 5 Introduction to Interest Rate Term Structure Modeling; Chapter 6 The Heath-Jarrow-Morton Framework; Chapter 7 The Interest Rate Market Model; Chapter 8 Credit Risk Modeling and Pricing; PART II INTEREST RATE MARKET FUNDAMENTALS AND PROPRIETARY TRADING STRATEGIES This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors? own research and practice. While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, and foreign exchange markets. This book, which assumes that the reader is familiar with the basics of stochastic calculus and derivatives modeling, is written from the |
| Beschreibung: | 1 Online-Ressource (xxii, 498 p.) |
| ISBN: | 9789812706652 9812706658 9810240791 9789810240790 |
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Datensatz im Suchindex
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| any_adam_object | |
| author | Tang, Yi |
| author_facet | Tang, Yi |
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| author_variant | y t yt |
| building | Verbundindex |
| bvnumber | BV042962750 |
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| dewey-full | 332.64/570151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/570151 |
| dewey-search | 332.64/570151 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042962750 |
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| isbn | 9789812706652 9812706658 9810240791 9789810240790 |
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| spelling | Tang, Yi Verfasser aut Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for fixed-income market Yi Tang, Bin Li Hackensack, NJ World Scientific Pub. c2007 1 Online-Ressource (xxii, 498 p.) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references (p. [479]-489) and index PART I THEORY AND APPLICATIONS OF DERIVATIVES MODELING; Chapter 1 Introduction to Counterparty Credit Risk; Preface; Chapter 2 Martingale Arbitrage Pricing in Real Market; Chapter 3 The Black-Scholes Framework and Extensions; Chapter 4 Martingale Resampling and Interpolation; Chapter 5 Introduction to Interest Rate Term Structure Modeling; Chapter 6 The Heath-Jarrow-Morton Framework; Chapter 7 The Interest Rate Market Model; Chapter 8 Credit Risk Modeling and Pricing; PART II INTEREST RATE MARKET FUNDAMENTALS AND PROPRIETARY TRADING STRATEGIES This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors? own research and practice. While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, and foreign exchange markets. This book, which assumes that the reader is familiar with the basics of stochastic calculus and derivatives modeling, is written from the BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Mathematical models fast Finance / Mathematical models fast Speculation / Mathematical models fast Mathematisches Modell Wirtschaft Derivative securities Mathematical models Finance Mathematical models Speculation Mathematical models Rentenmarkt (DE-588)4177794-3 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Rentenmarkt (DE-588)4177794-3 s Mathematisches Modell (DE-588)4114528-8 s 1\p DE-604 Derivat Wertpapier (DE-588)4381572-8 s 2\p DE-604 Li, Bin Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=203817 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Tang, Yi Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for fixed-income market BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Mathematical models fast Finance / Mathematical models fast Speculation / Mathematical models fast Mathematisches Modell Wirtschaft Derivative securities Mathematical models Finance Mathematical models Speculation Mathematical models Rentenmarkt (DE-588)4177794-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4177794-3 (DE-588)4381572-8 (DE-588)4114528-8 |
| title | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for fixed-income market |
| title_auth | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for fixed-income market |
| title_exact_search | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for fixed-income market |
| title_full | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for fixed-income market Yi Tang, Bin Li |
| title_fullStr | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for fixed-income market Yi Tang, Bin Li |
| title_full_unstemmed | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for fixed-income market Yi Tang, Bin Li |
| title_short | Quantitative analysis, derivatives modeling, and trading strategies |
| title_sort | quantitative analysis derivatives modeling and trading strategies in the presence of counterparty credit risk for fixed income market |
| title_sub | in the presence of counterparty credit risk for fixed-income market |
| topic | BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Derivative securities / Mathematical models fast Finance / Mathematical models fast Speculation / Mathematical models fast Mathematisches Modell Wirtschaft Derivative securities Mathematical models Finance Mathematical models Speculation Mathematical models Rentenmarkt (DE-588)4177794-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities / General Derivative securities / Mathematical models Finance / Mathematical models Speculation / Mathematical models Mathematisches Modell Wirtschaft Derivative securities Mathematical models Finance Mathematical models Speculation Mathematical models Rentenmarkt Derivat Wertpapier |
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