product iamge

Modern Derivatives Pricing and Credit Exposure Analysis: Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting

This document was uploaded by one of our users. The uploader already confirmed that they had the permission to publish it. If you are author/publisher or own the copyright of this documents, please report to us by using this DMCA report form.

Download
Search on Amazon

Simply click on the Download Book button.

Yes, Book downloads on Ebookily are 100% Free.

Sometimes the book is free on Amazon As well, so go ahead and hit "Search on Amazon"

This 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(s): Roland Lichters, Roland Stamm, Donal Gallagher
Series: Applied Quantitative Finance
Publisher: Palgrave Macmillan
Year: 2016

Language: English
Pages: xxxii+466
Tags: Econometrics Economics Business Money Finance Corporate Crowdfunding Financial Risk Management Wealth Mathematics Skills Reference Almanacs Yearbooks Atlases Maps Careers Catalogs Directories Consumer Guides Dictionaries Thesauruses Encyclopedias Subject English as a Second Language Etiquette Foreign Study Genealogy Quotations Survival Emergency Preparedness Test Preparation Words Grammar Writing Research Publishing Science Math Agricultural Sciences Archaeology Astronomy Space Behavioral Biolog

I Discounting
1 Discounting Before the Crisis
2 What Changed with the Crisis
3 Clearing House Pricing
4 Global Discounting
5 CSA Discounting
6 Fair Value Hedge Accounting in a Multi-Curve World

II Credit and Debit Value Adjustment
7 Introduction
8 Fundamentals
9 Single Trade CVA

III Risk Factor Evolution
10 Introduction – A Monte Carlo Framework
11 Interest Rates
12 Foreign Exchange
13 Inflation
14 Equity and Commodity
15 Credit

IV XVA
Introduction
16 Cross-Asset Scenario Generation
17 Netting and Collateral
18 Early Exercise and American Monte Carlo
19 CVA Risk and Algorithmic Differentiation
20 FVA
21 KVA

V Credit Risk
22 Introduction
23 Pricing Portfolio Credit Products
24 Credit Risk and Basel Capital for Derivatives
25 Backtesting

VI Appendix
A The Change of NumeraireToolkit
B The Feynman-Kac Connection
C The Black76 Formula
D Hull-White Model
E Linear Gauss Markov Model
F Dodgson-Kainth Model
G CIR Model with Jumps
H CDS and CDS Option: Filtration Switching and the PK Model