LEADER 04714 am 22007933u 450 001 9910166651303321 005 20200629230647.0 010 $a3-319-33446-8 024 7 $a10.1007/978-3-319-33446-2 035 $a(CKB)3710000001006473 035 $a(DE-He213)978-3-319-33446-2 035 $a(MiAaPQ)EBC5588828 035 $a(Au-PeEL)EBL5588828 035 $a(OCoLC)967654318 035 $a(MiAaPQ)EBC6422567 035 $a(Au-PeEL)EBL6422567 035 $a(PPN)197456448 035 $a(EXLCZ)993710000001006473 100 $a20161202d2016 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aInnovations in Derivatives Markets$b[electronic resource] $eFixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation /$fedited by Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst 205 $a1st ed. 2016. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2016. 215 $a1 online resource (X, 449 p. 68 illus., 43 illus. in color.) 225 1 $aSpringer Proceedings in Mathematics & Statistics,$x2194-1009 ;$v165 311 $a3-319-33445-X 327 $aForeword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. . 330 $aThis book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: ? Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. ? Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. ? Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. . 410 0$aSpringer Proceedings in Mathematics & Statistics,$x2194-1009 ;$v165 606 $aEconomics, Mathematical  606 $aBanks and banking 606 $aStatistics  606 $aMathematical models 606 $aProbabilities 606 $aFinancial engineering 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aBanking$3https://scigraph.springernature.com/ontologies/product-market-codes/626010 606 $aStatistics for Business, Management, Economics, Finance, Insurance$3https://scigraph.springernature.com/ontologies/product-market-codes/S17010 606 $aMathematical Modeling and Industrial Mathematics$3https://scigraph.springernature.com/ontologies/product-market-codes/M14068 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 606 $aFinancial Engineering$3https://scigraph.springernature.com/ontologies/product-market-codes/612020 615 0$aEconomics, Mathematical . 615 0$aBanks and banking. 615 0$aStatistics . 615 0$aMathematical models. 615 0$aProbabilities. 615 0$aFinancial engineering. 615 14$aQuantitative Finance. 615 24$aBanking. 615 24$aStatistics for Business, Management, Economics, Finance, Insurance. 615 24$aMathematical Modeling and Industrial Mathematics. 615 24$aProbability Theory and Stochastic Processes. 615 24$aFinancial Engineering. 676 $a519 702 $aGlau$b Kathrin$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aGrbac$b Zorana$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aScherer$b Matthias$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aZagst$b Rudi$4edt$4http://id.loc.gov/vocabulary/relators/edt 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910166651303321 996 $aInnovations in derivatives markets$91523396 997 $aUNINA