Verfügbarkeit: Innovations in Derivatives Markets

Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

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Bibliographische Detailangaben
Weitere Verfasser:	Glau, Kathrin (HerausgeberIn), Grbac, Zorana (HerausgeberIn), Scherer, Matthias (HerausgeberIn), Zagst, Rudi 1961- (HerausgeberIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cham Springer Open [2016]
Schriftenreihe:	Springer proceedings in mathematics & statistics Volume 165
Schlagworte:	Zinsänderungsrisiko Finanzmathematik Finanzinnovation Aufsatzsammlung
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	x, 449 Seiten Illustrationen
ISBN:	9783319334455

Internformat

MARC


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Datensatz im Suchindex

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adam_text	Contents Part I Valuation Adjustments Nonlinearity Valuation Adjustment..................................... 3 Damiano Brigo, Qing D. Liu, Andrea Pallavicini and David Sloth Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects...................................................... 37 Damiano Brigo, Marco Francischello and Andrea Pallavicini Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives................................................. 53 Stéphane Crépey and Tuyet Mai Nguyen Tight Semi-model-free Bounds on (Bilateral) CVA...................... 83 Jôrdis Helmers, Jan-J. Riickmann and Ralf Werner CVA with Wrong-Way Risk in the Presence of Early Exercise.......... 103 Roberto Baviera, Gaetano La Bua and Paolo Pellicioli Simultaneous Hedging of Regulatory and Accounting CVA.............. 117 Christoph Bems Capital Optimization Through an Innovative CVA Hedge............... 133 Michael Hünseler and Dirk Schubert FVA and Electricity Bill Valuation Adjustment—Much of a Difference?................................................... 147 Damiano Brigo, Christian P. Fries, John Hull, Matthias Scherer, Daniel Sommer and Ralf Werner Part II Fixed Income Modeling Multi-curve Modelling Using Trees.................................. 171 John Hull and Alan White ix X Contents Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model............................. 191 Zorana Grbac, Laura Meneghello and Wolfgang J. Runggaldier Multi-curve Construction............................................ 227 Christian P. Fries Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments.......................................................... 251 Giacomo Bormetti, Damiano Brigo, Marco Francischello and Andrea Pallavicini A Generalized Intensity-Based Framework for Single-Name Credit Risk................................................................. 267 Frank Gehmlich and Thorsten Schmidt Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model...................................................... 285 Ernst Eberlein, M’hamed Eddahbi and Sidi Mohamed Lalaoui Ben Cherif Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis........... 315 Vilimir Yordanov Part III Financial Engineering Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model........................................................... 335 Daniel Linders and Wim Schoutens Pricing Shared-Loss Hedge Fund Fee Structures........................ 369 Ben Djerroud, David Saunders, Luis Seco and Mohammad Shakourifar Negative Basis Measurement: Finding the Holy Scale.................. . 385 German Bemhart and Jan-Frederik Mai The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos................................................. 405 Jan De Spiegeleer, Stephan Höcht, Ine Marquet and Wim Schoutens The Impact of Cointegration on Commodity Spread Options . .......... 421 Walter Farkas, Elise Gourier, Robert Huitema and Ciprian Necula The Dynamic Correlation Model and Its Application to the Heston Model......................................................... 437 L. Teng, M. Ehrhardt and M. Günther
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spelling	Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors Cham Springer Open [2016] x, 449 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Springer proceedings in mathematics & statistics Volume 165 Zinsänderungsrisiko (DE-588)4067851-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzinnovation (DE-588)4124975-6 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzinnovation (DE-588)4124975-6 s Zinsänderungsrisiko (DE-588)4067851-9 s Finanzmathematik (DE-588)4017195-4 s DE-604 Glau, Kathrin (DE-588)142417076 edt Grbac, Zorana (DE-588)1084345218 edt Scherer, Matthias (DE-588)133340937 edt Zagst, Rudi 1961- (DE-588)113301057 edt Erscheint auch als eBook 978-3-319-33446-2 Springer proceedings in mathematics & statistics Volume 165 (DE-604)BV041997725 165 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028982335&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation Springer proceedings in mathematics & statistics Zinsänderungsrisiko (DE-588)4067851-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Finanzinnovation (DE-588)4124975-6 gnd
subject_GND	(DE-588)4067851-9 (DE-588)4017195-4 (DE-588)4124975-6 (DE-588)4143413-4
title	Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
title_auth	Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
title_exact_search	Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
title_full	Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors
title_fullStr	Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors
title_full_unstemmed	Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, editors
title_short	Innovations in Derivatives Markets
title_sort	innovations in derivatives markets fixed income modeling valuation adjustments risk management and regulation
title_sub	Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
topic	Zinsänderungsrisiko (DE-588)4067851-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Finanzinnovation (DE-588)4124975-6 gnd
topic_facet	Zinsänderungsrisiko Finanzmathematik Finanzinnovation Aufsatzsammlung
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028982335&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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