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Quantitative analysis, derivatives modeling, and trading strategies [[electronic resource] ] : in the presence of counterparty credit risk for fixed-income market / / Yi Tang, Bin Li
| Quantitative analysis, derivatives modeling, and trading strategies [[electronic resource] ] : in the presence of counterparty credit risk for fixed-income market / / Yi Tang, Bin Li |
| Autore | Tang Yi |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific Pub., c2007 |
| Descrizione fisica | 1 online resource (523 p.) |
| Disciplina | 332.64/570151 |
| Altri autori (Persone) | LiBin |
| Soggetto topico |
Derivative securities - Mathematical models
Finance - Mathematical models Speculation - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-12074-X
9786611120740 981-270-665-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
Chapter 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 |
| Record Nr. | UNINA-9910451483703321 |
Tang Yi
|
||
| Hackensack, NJ, : World Scientific Pub., c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Quantitative analysis, derivatives modeling, and trading strategies [[electronic resource] ] : in the presence of counterparty credit risk for fixed-income market / / Yi Tang, Bin Li
| Quantitative analysis, derivatives modeling, and trading strategies [[electronic resource] ] : in the presence of counterparty credit risk for fixed-income market / / Yi Tang, Bin Li |
| Autore | Tang Yi |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific Pub., c2007 |
| Descrizione fisica | 1 online resource (523 p.) |
| Disciplina | 332.64/570151 |
| Altri autori (Persone) | LiBin |
| Soggetto topico |
Derivative securities - Mathematical models
Finance - Mathematical models Speculation - Mathematical models |
| ISBN |
1-281-12074-X
9786611120740 981-270-665-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
Chapter 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 |
| Record Nr. | UNINA-9910783915303321 |
|
Tang Yi
|
||
| Hackensack, NJ, : World Scientific Pub., c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Quantitative analysis, derivatives modeling, and trading strategies : in the presence of counterparty credit risk for fixed-income market / / Yi Tang, Bin Li
| Quantitative analysis, derivatives modeling, and trading strategies : in the presence of counterparty credit risk for fixed-income market / / Yi Tang, Bin Li |
| Autore | Tang Yi |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific Pub., c2007 |
| Descrizione fisica | 1 online resource (523 p.) |
| Disciplina | 332.64/570151 |
| Altri autori (Persone) | LiBin |
| Soggetto topico |
Derivative securities - Mathematical models
Finance - Mathematical models Speculation - Mathematical models |
| ISBN |
9786611120740
9781281120748 128112074X 9789812706652 9812706658 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
Chapter 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 |
| Record Nr. | UNINA-9910971768903321 |
|
Tang Yi
|
||
| Hackensack, NJ, : World Scientific Pub., c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||