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

By Kathrin Glau (Editor), Zorana Grbac (Editor), Matthias Scherer (Editor), Rudi Zagst (Editor)
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By Kathrin Glau (Editor), Zorana Grbac (Editor), Matthias Scherer (Editor), Rudi Zagst (Editor)
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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.

•...

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Science & TechnologyMathematicsMathematics - Applied