LEADER 03531nam 2200637Ia 450 001 9910783915303321 005 20200520144314.0 010 $a1-281-12074-X 010 $a9786611120740 010 $a981-270-665-8 035 $a(CKB)1000000000334439 035 $a(EBL)312247 035 $a(OCoLC)476099167 035 $a(SSID)ssj0000231162 035 $a(PQKBManifestationID)11187681 035 $a(PQKBTitleCode)TC0000231162 035 $a(PQKBWorkID)10206627 035 $a(PQKB)10538314 035 $a(MiAaPQ)EBC312247 035 $a(WSP)00004228 035 $a(Au-PeEL)EBL312247 035 $a(CaPaEBR)ebr10188821 035 $a(CaONFJC)MIL112074 035 $a(PPN)170212548 035 $a(EXLCZ)991000000000334439 100 $a20061101d2007 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aQuantitative analysis, derivatives modeling, and trading strategies$b[electronic resource] $ein the presence of counterparty credit risk for fixed-income market /$fYi Tang, Bin Li 210 $aHackensack, NJ $cWorld Scientific Pub.$dc2007 215 $a1 online resource (523 p.) 300 $aDescription based upon print version of record. 311 $a981-02-4079-1 320 $aIncludes bibliographical references (p. [479]-489) and index. 327 $aContents; PART I THEORY AND APPLICATIONS OF DERIVATIVES MODELING; Chapter 1 Introduction to Counterparty Credit Risk; Preface; Chapter 2 Martingale Arbitrage Pricing in Real Market; Chapter 3 The Black-Scholes Framework and Extensions; Chapter 4 Martingale Resampling and Interpolation; Chapter 5 Introduction to Interest Rate Term Structure Modeling; Chapter 6 The Heath-Jarrow-Morton Framework; Chapter 7 The Interest Rate Market Model; Chapter 8 Credit Risk Modeling and Pricing; PART II INTEREST RATE MARKET FUNDAMENTALS AND PROPRIETARY TRADING STRATEGIES 327 $aChapter 9 Simple Interest Rate ProductsChapter 10 Yield Curve Modeling; Chapter 11 Two-Factor Risk Model; Chapter 12 The Holy Grail - Two-Factor Interest Rate Arbitrage; Chapter 13 Yield Decomposition Model; Chapter 14 Inflation Linked Instruments Modeling; Chapter 15 Interest Rate Proprietary Trading Strategies; References; Index 330 $aThis book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors' own research and practice. While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, and foreign exchange markets. This book, which assumes that the reader is familiar with the basics of stochastic calculus and derivatives modeling, is written from the 606 $aDerivative securities$xMathematical models 606 $aFinance$xMathematical models 606 $aSpeculation$xMathematical models 615 0$aDerivative securities$xMathematical models. 615 0$aFinance$xMathematical models. 615 0$aSpeculation$xMathematical models. 676 $a332.64/570151 700 $aTang$b Yi$01507892 701 $aLi$b Bin$0857556 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910783915303321 996 $aQuantitative analysis, derivatives modeling, and trading strategies$93738926 997 $aUNINA