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Author: C. Kenyon
Publisher: Springer
Published: 2012-08-06
Total Pages: 251
ISBN-13: 1137268522
DOWNLOAD EBOOKProviding the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.
Author: Jianwei Zhu
Publisher:
Published: 2013
Total Pages: 23
ISBN-13:
DOWNLOAD EBOOKSince the Financial Crisis in 2009, interest rate derivative markets have witnessed a dramatic change in the valuation, especially with respect to cash-flow discounting, forward curve building und counterpart risks. The application of OIS discount curve to value collateralised interest derivatives results in a major change in valuation models since the pricing numeraires are directly connected with discount factors. To capture the effect of OIS discounting, an additional stochastic process for overnight rates is required. In this paper, I extend the classical Libor Market Model (LMM) by adding a short rate process for overnight rates, and then unify OIS zero-coupon bonds and tenor forward rates under a unique OIS forward measure, for example, the OIS terminal measure. Within the OIS-LMM, I could clarify the market practices and models in valuating secured derivatives where OIS adjustments in observable forward rates are identified as a result of the separation of discount curve and forward curve in the new multi-curve world. The suggested OIS-LMM is extended parsimoniously so that the existing pre-crisis LMM can be easily modified to capture OIS discounting.
Author: M. Henrard
Publisher: Springer
Published: 2014-05-29
Total Pages: 300
ISBN-13: 1137374667
DOWNLOAD EBOOKFollowing the financial crisis dramatic market changes, a new standard in interest rate modelling emerged, called the multi-curve framework. The author provides a detailed analysis of the framework, through its foundations, evolution and implementation. The book also covers recent extensions to collateral and stochastic spreads modelling.
Author: Robert Kosowski
Publisher: Academic Press
Published: 2014-11-26
Total Pages: 893
ISBN-13: 0123870070
DOWNLOAD EBOOKPrinciples of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act The solutions manual enhances the text by presenting additional cases and solutions to exercises
Author: Christian Crispoldi
Publisher: Springer
Published: 2016-04-29
Total Pages: 238
ISBN-13: 1137378646
DOWNLOAD EBOOKInterest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives. SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products and the extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.
Author: Stéphane Crépey
Publisher: CRC Press
Published: 2014-06-23
Total Pages: 390
ISBN-13: 1466516453
DOWNLOAD EBOOKSolve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas. The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.
Author: J. Kienitz
Publisher: Springer
Published: 2014-12-05
Total Pages: 219
ISBN-13: 1137360070
DOWNLOAD EBOOKAimed at practitioners who need to understand the current fixed income markets and learn the techniques necessary to master the fundamentals, this book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments.
Author: Dongsheng Lu
Publisher: Springer
Published: 2015-11-10
Total Pages: 218
ISBN-13: 1137435844
DOWNLOAD EBOOKThis latest addition to the Financial Engineering Explained series focuses on the new standards for derivatives valuation, namely, pricing and risk management taking into account counterparty risk, and the XVA's Credit, Funding and Debt value adjustments.
Author: Roland Lichters
Publisher: Springer
Published: 2015-11-15
Total Pages: 491
ISBN-13: 1137494840
DOWNLOAD EBOOKThis book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.
Author: Roland Lichters
Publisher: Springer
Published: 2015-11-15
Total Pages: 569
ISBN-13: 1137494840
DOWNLOAD EBOOKThis book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.
