Innovations in Derivatives Markets
Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
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…
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Produktdetails
Weitere Autoren: Grbac, Zorana (Hrsg.) / Scherer, Matthias (Hrsg.) / Zagst, Rudi (Hrsg.)
- ISBN: 978-3-319-33445-5
- EAN: 9783319334455
- Produktnummer: 19783415
- Verlag: Springer-Verlag GmbH
- Sprache: Englisch
- Erscheinungsjahr: 2017
- Seitenangabe: 449 S.
- Masse: H24.1 cm x B16.0 cm x D3.0 cm 852 g
- Abbildungen: Book; 70 schwarz-weiße Abbildungen, Bibliographie
- Reihenbandnummer: 165
- Gewicht: 852
Über den Autor
Kathrin Glau is a Junior Professor of Mathematical Finance at the Technical University of Munich. Her research focuses on the complex demands on numerical tools and modeling in today's market. Her approach merges recent advances from numerical analysis and financial modeling in order to develop pricing methods in advanced models with the help of thorough error analysis are developed. Her speciality is Galerkin methods for partial integro-differential equations for (pure) jump Levy driven models.Zorana Grbac is an Assistant Professor of Mathematical Finance at the Laboratoire de Probabilités et Modèles Aléatoires, University Paris Diderot. Her research interests include applications of Lévy processes and other stochastic processes with jumps in mathematical finance, with an emphasis on modeling of the term structure of interest rates and credit risk modeling. She also works on asymptotic methods for pricing of interest rate derivatives. She has published several research papers on multi-curve modeling, pricing and valuation adjustments and is co-author of the book Interest Rate Modeling: Post-Crisis Challenges and Approaches.Matthias Scherer is a Professor of Mathematical Finance at the Technical University of Munich. His research interests comprise various topics in Financial Mathematics, Actuarial Science, and Probability Theory. Concerning risk management, he has published research articles on portfolio-credit risk, dependence modeling, and model risk. He is an active member of the managerial boards of the DGVFM and the KPMG Center of Excellence in Risk Management. He is co-author of the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications. Rudi Zagst is a Professor of Mathematical Finance, Director of the Center of Mathematics and member of the managerial board of the KPMG Center of Excellence in Risk Management at the Technical University of Munich. He also serves as a professional trainer for a number of leading institutions. His current research interests are in financial engineering, risk and asset management.
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