Quantitative analysis, derivatives modeling, and trading strategies :: in the presence of counterparty credit risk for fixed-income market /
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 o...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hackensack, NJ :
World Scientific Pub.,
[2007]
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 resource (xxii, 498 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 479-489) and index. |
| ISBN: | 9789812706652 9812706658 |
Internformat
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| 245 | 1 | 0 | |a Quantitative analysis, derivatives modeling, and trading strategies : |b in the presence of counterparty credit risk for fixed-income market / |c Yi Tang, Bin Li. |
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| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Part I. Theory and applications of dervivations 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. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Derivative securities |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2009123216 | |
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
| 650 | 0 | |a Speculation |x Mathematical models. | |
| 650 | 6 | |a Instruments dérivés (Finances) |x Modèles mathématiques. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Spéculation |x Modèles mathématiques. | |
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| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 650 | 7 | |a Speculation |x Mathematical models |2 fast | |
| 700 | 1 | |a Li, Bin, |e author. | |
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| author | Tang, Yi, 1962- Li, Bin |
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| contents | Part I. Theory and applications of dervivations 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. |
| ctrlnum | (OCoLC)648317087 |
| dewey-full | 332.64/570151 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/570151 |
| dewey-search | 332.64/570151 |
| dewey-sort | 3332.64 6570151 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Illustrated |
| indexdate | 2024-07-16T15:03:44Z |
| institution | BVB |
| isbn | 9789812706652 9812706658 |
| language | English |
| oclc_num | 648317087 |
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| physical | 1 online resource (xxii, 498 pages) : illustrations |
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| spelling | Tang, Yi, 1962- author. https://id.oclc.org/worldcat/entity/E39PCjMqxwPbH3rYPqcJgpDdYq http://id.loc.gov/authorities/names/no2007067398 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., [2007] ©2007 1 online resource (xxii, 498 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda Includes bibliographical references (pages 479-489) and index. Print version record. Part I. Theory and applications of dervivations 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. Derivative securities Mathematical models. http://id.loc.gov/authorities/subjects/sh2009123216 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Speculation Mathematical models. Instruments dérivés (Finances) Modèles mathématiques. Finances Modèles mathématiques. Spéculation Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Mathematical models fast Finance Mathematical models fast Speculation Mathematical models fast Li, Bin, author. has work: Quantitative analysis, derivatives modeling, and trading strategies (Text) https://id.oclc.org/worldcat/entity/E39PCG4TYRk9XMqk4C4KWDkYyd https://id.oclc.org/worldcat/ontology/hasWork Print version: Tang, Yi. Quantitative analysis, derivatives modeling, and trading strategies. Hackensack, NJ : World Scientific Pub., ©2007 (DLC) 2006042114 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=203817 Volltext |
| spellingShingle | Tang, Yi, 1962- Li, Bin Quantitative analysis, derivatives modeling, and trading strategies : in the presence of counterparty credit risk for fixed-income market / Part I. Theory and applications of dervivations 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. Derivative securities Mathematical models. http://id.loc.gov/authorities/subjects/sh2009123216 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Speculation Mathematical models. Instruments dérivés (Finances) Modèles mathématiques. Finances Modèles mathématiques. Spéculation Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Mathematical models fast Finance Mathematical models fast Speculation Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh2009123216 http://id.loc.gov/authorities/subjects/sh85048260 |
| 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 | Derivative securities Mathematical models. http://id.loc.gov/authorities/subjects/sh2009123216 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Speculation Mathematical models. Instruments dérivés (Finances) Modèles mathématiques. Finances Modèles mathématiques. Spéculation Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Mathematical models fast Finance Mathematical models fast Speculation Mathematical models fast |
| topic_facet | Derivative securities Mathematical models. Finance Mathematical models. Speculation Mathematical models. Instruments dérivés (Finances) Modèles mathématiques. Finances Modèles mathématiques. Spéculation Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. Derivative securities Mathematical models Finance Mathematical models Speculation Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=203817 |
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