Innovations in Derivatives Markets

Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst

DescriptionDetailsHashtagsReport an issue

Book Description

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 crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities.A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.

This open book is licensed under a Creative Commons License (CC BY). You can download Innovations in Derivatives Markets ebook for free in PDF format (8.7 MB).

Book Details

Publisher
Springer
Published
2016
Pages
446
Edition
1
Language
English
ISBN13
9783319334455
ISBN10
331933445X
ISBN13 Digital
9783319334462
ISBN10 Digital
3319334468
PDF Size
8.7 MB
License
CC BY

Book Hashtags

Related Books

Social Innovations in the Urban Context
This book addresses the practice of social innovation, which is currently very much in the public eye. New ideas and approaches are needed to tackle the severe and wicked problems with which contemporary societies are struggling. Especially in times of economic crisis, social innovation is regarded as one of the crucial elements needed to move forw...
Microfinance 3.0
This book focuses on the achievements, current trends and further potential of microfinance to scale-up and serve many more clients with financial services that enable them to improve their living conditions. The book asks what it takes to achieve sustainable impact: to know your clients and to understand their needs, to treat them in a fair and tr...
Competition Authorities in South Eastern Europe
This book provides answers to key open questions concerning competition policy in emerging economies, with a focus on South Eastern Europe. The contributions address two major issues. One is the design of competition policy and the national competition authorities that enforce it, including the topics of competition advocacy and state aid control; ...
eIoT
This book explores the collision between the sustainable energy transition and the Internet of Things (IoT). In that regard, this book's arrival is timely. Not only is the Internet of Things for energy applications, herein called the energy Internet of Things (eIoT), rapidly developing but also the transition towards sustainable energy to abate glo...
Free Innovation
Free innovation is already widespread in national economies and is steadily increasing in both scale and scope. Today, tens of millions of consumers are collectively spending tens of billions of dollars annually on innovation development. However, because free innovations are developed during consumers' unpaid, discretionary time and are given away...
Global Business Strategy
This book presents theories and case studies for corporations in developed nations, including Japan, for designing strategies to maximize opportunities and minimize threats in business expansion into developing nations. The case studies featured here focus on Asia, including China and India, and use examples of Japanese manufacturers. Five case st...