1. Auflage - August 2012
ca. 77,90 Euro
2012. 256 Seiten, Hardcover
- Fachbuch -
ISBN-10: 0-470-74846-X
ISBN-13: 978-0-470-74846-6 - John Wiley & Sons

Preis inkl. Mehrwertsteuer zzgl. Versandkosten.







Langtext
The book's content is focused on quantitative methods of tackling valuation problems, supplying sound theoretical frameworks for the pricing and hedging of counterparty risk, linking particular models to particular 'concrete' financial situations. The authors also aim to help quantitative analysts, traders, and anyone else needing to measure counterparty risk, to develop a 'feel' for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others.

Table of Contents
Preface
Chapter 1: Definitions and Notation
Chapter 2: Counterparty Risk in General
Chapter 3: Modeling the underlying: Equity, Rates, Commodities and Credit
Chapter 4: Counterparty Risk for Interest Rate Swaps and exotics
Chapter 5: Counterparty Risk for FX
Chapter 6: Counterparty Risk for Commodities
Chapter 7: Counterparty Risk for Credit
Chapter 8: Counterparty Risk for Equity
Chapter 9. Contingent CDS and other hybrid products
Appendix A: Stochastic Calculus
Appendix B: Copula Functions