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Counterparty credit risk [[electronic resource] ] : the new challenge for global financial markets / / Jon Gregory
| Counterparty credit risk [[electronic resource] ] : the new challenge for global financial markets / / Jon Gregory |
| Autore | Gregory Jon, Ph. D. |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (450 p.) |
| Disciplina | 332.6457 |
| Collana | Wiley finance |
| Soggetto topico |
Derivative securities - Mathematical models
Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-23951-5
9786613239518 0-470-97272-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Counterparty Credit Risk: The New Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Abbreviations; Introduction; 1 Setting the Scene; 1.1 Financial risk management; 1.1.1 Market risk; 1.1.2 Liquidity risk; 1.1.3 Operational risk; 1.1.4 Credit risk; 1.1.5 Value-at-risk; 1.1.6 Disadvantages of value-at-risk; 1.2 The failure of models; 1.2.1 Why models?; 1.2.2 Good model, bad model; 1.3 The derivatives market; 1.3.1 What is a derivative?; 1.3.2 Market structure; 1.4 Risks of derivatives; 1.4.1 Too big to fail; 1.4.2 Systemic risk
1.4.3 Compensation culture 1.4.4 Credit derivatives; 1.5 Counterparty risk in context; 1.5.1 What is counterparty risk?; 1.5.2 Mitigation of counterparty risk; 1.5.3 Counterparty risk and integration of risk types; 1.5.4 Counterparty risk and today's derivatives market; 2 Defining Counterparty Credit Risk; 2.1 Introducing counterparty risk; 2.1.1 Origins of counterparty risk; 2.1.2 Repos; 2.1.3 Exchange-traded derivatives; 2.1.4 OTC derivatives; 2.1.5 Counterparty risk; 2.1.6 Counterparty risk versus lending risk; 2.1.7 Mitigating counterparty risk; 2.1.8 Counterparty risk players 2.2 Components and terminology 2.2.1 Credit exposure; 2.2.2 Default probability and credit migration; 2.2.3 Recovery; 2.2.4 Mark-to-market; 2.2.5 Replacement cost; 2.2.6 Exposure; 2.2.7 Exposure as a short option position; 2.2.8 Potential future exposure (PFE); 2.3 Controlling counterparty credit risk; 2.3.1 Trading with high-quality counterparties; 2.3.2 Cross-product netting; 2.3.3 Close-out; 2.3.4 Collateralisation; 2.3.5 Walkaway features; 2.3.6 Monolines; 2.3.7 Diversification of counterparty risk; 2.3.8 Exchanges and centralised clearing houses; 2.4 Quantifying counterparty risk 2.4.1 Credit lines 2.4.2 Pricing counterparty risk; 2.4.3 Hedging counterparty risk; 2.4.4 Capital requirements and counterparty risk; 2.5 Metrics for credit exposure; 2.5.1 Expected MtM; 2.5.2 Expected exposure; 2.5.3 Potential future exposure; 2.5.4 EE and PFE for a normal distribution; 2.5.5 Overview of exposure metrics; 2.5.6 Expected positive exposure; 2.5.7 Effective EPE; 2.5.8 Maximum PFE; 2.6 Summary; Appendix 2.A Characterising exposure for a normal distribution; 3 Mitigating Counterparty Credit Risk; 3.1 Introduction; 3.1.1 Two-way or one-way agreements; 3.1.2 Standardisation 3.2 Default-remote entities 3.2.1 High-quality counterparties; 3.2.2 Special purpose vehicles; 3.2.3 Central counterparties; 3.3 Termination and walkaway features; 3.3.1 Termination events; 3.3.2 Additional termination events; 3.3.3 Walkaway features; 3.4 Netting and close-out; 3.4.1 Close-out; 3.4.2 Payment and close-out netting; 3.4.3 The need for close-out netting; 3.4.4 The birth of netting; 3.4.5 Netting agreements; 3.4.6 The ISDA Master Agreement; 3.4.7 Product coverage; 3.4.8 Netting and exposure; 3.4.9 Advantages and disadvantages of netting; 3.4.10 Multilateral netting 3.5 Netting and exposure |
| Record Nr. | UNINA-9910456723903321 |
Gregory Jon, Ph. D.
|
||
| Chichester, U.K., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Counterparty credit risk [[electronic resource] ] : the new challenge for global financial markets / / Jon Gregory
| Counterparty credit risk [[electronic resource] ] : the new challenge for global financial markets / / Jon Gregory |
| Autore | Gregory Jon, Ph. D. |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (450 p.) |
| Disciplina | 332.6457 |
| Collana | Wiley finance |
| Soggetto topico |
Derivative securities - Mathematical models
Risk management |
| ISBN |
1-283-23951-5
9786613239518 0-470-97272-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Counterparty Credit Risk: The New Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Abbreviations; Introduction; 1 Setting the Scene; 1.1 Financial risk management; 1.1.1 Market risk; 1.1.2 Liquidity risk; 1.1.3 Operational risk; 1.1.4 Credit risk; 1.1.5 Value-at-risk; 1.1.6 Disadvantages of value-at-risk; 1.2 The failure of models; 1.2.1 Why models?; 1.2.2 Good model, bad model; 1.3 The derivatives market; 1.3.1 What is a derivative?; 1.3.2 Market structure; 1.4 Risks of derivatives; 1.4.1 Too big to fail; 1.4.2 Systemic risk
1.4.3 Compensation culture 1.4.4 Credit derivatives; 1.5 Counterparty risk in context; 1.5.1 What is counterparty risk?; 1.5.2 Mitigation of counterparty risk; 1.5.3 Counterparty risk and integration of risk types; 1.5.4 Counterparty risk and today's derivatives market; 2 Defining Counterparty Credit Risk; 2.1 Introducing counterparty risk; 2.1.1 Origins of counterparty risk; 2.1.2 Repos; 2.1.3 Exchange-traded derivatives; 2.1.4 OTC derivatives; 2.1.5 Counterparty risk; 2.1.6 Counterparty risk versus lending risk; 2.1.7 Mitigating counterparty risk; 2.1.8 Counterparty risk players 2.2 Components and terminology 2.2.1 Credit exposure; 2.2.2 Default probability and credit migration; 2.2.3 Recovery; 2.2.4 Mark-to-market; 2.2.5 Replacement cost; 2.2.6 Exposure; 2.2.7 Exposure as a short option position; 2.2.8 Potential future exposure (PFE); 2.3 Controlling counterparty credit risk; 2.3.1 Trading with high-quality counterparties; 2.3.2 Cross-product netting; 2.3.3 Close-out; 2.3.4 Collateralisation; 2.3.5 Walkaway features; 2.3.6 Monolines; 2.3.7 Diversification of counterparty risk; 2.3.8 Exchanges and centralised clearing houses; 2.4 Quantifying counterparty risk 2.4.1 Credit lines 2.4.2 Pricing counterparty risk; 2.4.3 Hedging counterparty risk; 2.4.4 Capital requirements and counterparty risk; 2.5 Metrics for credit exposure; 2.5.1 Expected MtM; 2.5.2 Expected exposure; 2.5.3 Potential future exposure; 2.5.4 EE and PFE for a normal distribution; 2.5.5 Overview of exposure metrics; 2.5.6 Expected positive exposure; 2.5.7 Effective EPE; 2.5.8 Maximum PFE; 2.6 Summary; Appendix 2.A Characterising exposure for a normal distribution; 3 Mitigating Counterparty Credit Risk; 3.1 Introduction; 3.1.1 Two-way or one-way agreements; 3.1.2 Standardisation 3.2 Default-remote entities 3.2.1 High-quality counterparties; 3.2.2 Special purpose vehicles; 3.2.3 Central counterparties; 3.3 Termination and walkaway features; 3.3.1 Termination events; 3.3.2 Additional termination events; 3.3.3 Walkaway features; 3.4 Netting and close-out; 3.4.1 Close-out; 3.4.2 Payment and close-out netting; 3.4.3 The need for close-out netting; 3.4.4 The birth of netting; 3.4.5 Netting agreements; 3.4.6 The ISDA Master Agreement; 3.4.7 Product coverage; 3.4.8 Netting and exposure; 3.4.9 Advantages and disadvantages of netting; 3.4.10 Multilateral netting 3.5 Netting and exposure |
| Record Nr. | UNINA-9910781765103321 |
|
Gregory Jon, Ph. D.
|
||
| Chichester, U.K., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Counterparty credit risk : the new challenge for global financial markets / / Jon Gregory
| Counterparty credit risk : the new challenge for global financial markets / / Jon Gregory |
| Autore | Gregory Jon, Ph. D. |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (450 p.) |
| Disciplina | 332.6457 |
| Collana | Wiley finance |
| Soggetto topico |
Derivative securities - Mathematical models
Risk management |
| ISBN |
1-283-23951-5
9786613239518 0-470-97272-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Counterparty Credit Risk: The New Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Abbreviations; Introduction; 1 Setting the Scene; 1.1 Financial risk management; 1.1.1 Market risk; 1.1.2 Liquidity risk; 1.1.3 Operational risk; 1.1.4 Credit risk; 1.1.5 Value-at-risk; 1.1.6 Disadvantages of value-at-risk; 1.2 The failure of models; 1.2.1 Why models?; 1.2.2 Good model, bad model; 1.3 The derivatives market; 1.3.1 What is a derivative?; 1.3.2 Market structure; 1.4 Risks of derivatives; 1.4.1 Too big to fail; 1.4.2 Systemic risk
1.4.3 Compensation culture 1.4.4 Credit derivatives; 1.5 Counterparty risk in context; 1.5.1 What is counterparty risk?; 1.5.2 Mitigation of counterparty risk; 1.5.3 Counterparty risk and integration of risk types; 1.5.4 Counterparty risk and today's derivatives market; 2 Defining Counterparty Credit Risk; 2.1 Introducing counterparty risk; 2.1.1 Origins of counterparty risk; 2.1.2 Repos; 2.1.3 Exchange-traded derivatives; 2.1.4 OTC derivatives; 2.1.5 Counterparty risk; 2.1.6 Counterparty risk versus lending risk; 2.1.7 Mitigating counterparty risk; 2.1.8 Counterparty risk players 2.2 Components and terminology 2.2.1 Credit exposure; 2.2.2 Default probability and credit migration; 2.2.3 Recovery; 2.2.4 Mark-to-market; 2.2.5 Replacement cost; 2.2.6 Exposure; 2.2.7 Exposure as a short option position; 2.2.8 Potential future exposure (PFE); 2.3 Controlling counterparty credit risk; 2.3.1 Trading with high-quality counterparties; 2.3.2 Cross-product netting; 2.3.3 Close-out; 2.3.4 Collateralisation; 2.3.5 Walkaway features; 2.3.6 Monolines; 2.3.7 Diversification of counterparty risk; 2.3.8 Exchanges and centralised clearing houses; 2.4 Quantifying counterparty risk 2.4.1 Credit lines 2.4.2 Pricing counterparty risk; 2.4.3 Hedging counterparty risk; 2.4.4 Capital requirements and counterparty risk; 2.5 Metrics for credit exposure; 2.5.1 Expected MtM; 2.5.2 Expected exposure; 2.5.3 Potential future exposure; 2.5.4 EE and PFE for a normal distribution; 2.5.5 Overview of exposure metrics; 2.5.6 Expected positive exposure; 2.5.7 Effective EPE; 2.5.8 Maximum PFE; 2.6 Summary; Appendix 2.A Characterising exposure for a normal distribution; 3 Mitigating Counterparty Credit Risk; 3.1 Introduction; 3.1.1 Two-way or one-way agreements; 3.1.2 Standardisation 3.2 Default-remote entities 3.2.1 High-quality counterparties; 3.2.2 Special purpose vehicles; 3.2.3 Central counterparties; 3.3 Termination and walkaway features; 3.3.1 Termination events; 3.3.2 Additional termination events; 3.3.3 Walkaway features; 3.4 Netting and close-out; 3.4.1 Close-out; 3.4.2 Payment and close-out netting; 3.4.3 The need for close-out netting; 3.4.4 The birth of netting; 3.4.5 Netting agreements; 3.4.6 The ISDA Master Agreement; 3.4.7 Product coverage; 3.4.8 Netting and exposure; 3.4.9 Advantages and disadvantages of netting; 3.4.10 Multilateral netting 3.5 Netting and exposure |
| Record Nr. | UNINA-9910824278403321 |
|
Gregory Jon, Ph. D.
|
||
| Chichester, U.K., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Counterparty credit risk and credit value adjustment [[electronic resource] ] : a continuing challenge for global financial markets / / Jon Gregory
| Counterparty credit risk and credit value adjustment [[electronic resource] ] : a continuing challenge for global financial markets / / Jon Gregory |
| Autore | Gregory Jon, Ph. D. |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2012 |
| Descrizione fisica | 1 online resource (481 p.) |
| Disciplina | 332.64/57 |
| Altri autori (Persone) | GregoryJon, Ph. D. |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Derivative securities - Mathematical models
Risk management |
| ISBN |
1-118-67363-8
1-283-60383-7 9786613916280 1-118-31665-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Appendices; SECTION I: INTRODUCTION; 1 Introduction; 2 Background; 2.1 Introduction; 2.2 Financial risk; 2.2.1 Market risk; 2.2.2 Credit risk; 2.2.3 Liquidity risk; 2.2.4 Operational risk; 2.2.5 Integration of risk types; 2.3 Value-at-Risk; 2.3.1 Definition; 2.3.2 The dangers of VAR; 2.3.3 Models; 2.3.4 Correlation and dependency; 2.4 The derivatives market; 2.4.1 Uses of derivatives; 2.4.2 Exchange-traded and OTC derivatives
2.4.3 Risks of derivatives2.4.4 Too big to fail and systemic risk; 2.4.5 Credit derivatives; 2.5 Counterparty risk in context; 2.5.1 The rise of counterparty risk; 2.5.2 Counterparty risk and CVA; 2.5.3 Mitigating counterparty risk; 2.5.4 Counterparty risk and central clearing; 2.6 Summary; 3 Defining Counterparty Credit Risk; 3.1 Introducing counterparty credit risk; 3.1.1 Counterparty risk versus lending risk; 3.1.2 Settlement and pre-settlement risk; 3.1.3 Exchange-traded derivatives; 3.1.4 OTC-traded derivatives; 3.1.5 Repos and securities lending; 3.1.6 Mitigating counterparty risk 3.1.7 Counterparty risk players3.2 Components and terminology; 3.2.1 Credit exposure; 3.2.2 Default probability, credit migration and credit spreads; 3.2.3 Recovery and loss given default; 3.2.4 Mark-to-market and replacement cost; 3.2.5 Mitigating counterparty risk; 3.3 Control and quantification; 3.3.1 Credit limits; 3.3.2 Credit value adjustment; 3.3.3 CVA or credit limits?; 3.3.4 What does CVA represent?; 3.3.5 Hedging counterparty risk; 3.3.6 Portfolio counterparty risk; 3.4 Summary; SECTION II: MITIGATION OF COUNTERPARTY CREDIT RISK 4 Netting, Compression, Resets and Termination Features4.1 Introduction; 4.1.1 The origins of counterparty risk; 4.1.2 The ISDA master agreement; 4.2 Netting; 4.2.1 Payment netting; 4.2.2 The need for closeout netting; 4.2.3 Closeout netting; 4.2.4 Netting sets and subadditivity; 4.2.5 The impact of netting; 4.2.6 Product coverage; 4.3 Termination features and trade compression; 4.3.1 Reset agreements; 4.3.2 Additional termination events; 4.3.3 Walkaway features; 4.3.4 Trade compression and multilateral netting; 4.4 Conclusion; 5 Collateral; 5.1 Introduction; 5.1.1 Rationale for collateral 5.1.2 Analogy with mortgages5.1.3 The basics of collateralisation; 5.1.4 Collateral usage; 5.1.5 The credit support annex; 5.1.6 Impact of collateral; 5.2 Collateral terms; 5.2.1 Valuation agent; 5.2.2 Types of collateral; 5.2.3 Coverage of collateralisation; 5.2.4 Disputes and reconciliations; 5.2.5 Margin call frequency; 5.2.6 Haircuts; 5.2.7 Coupons and interest payments; 5.2.8 Substitution, funding costs and rehypothecation; 5.3 Defining the amount of collateral; 5.3.1 Types of CSA; 5.3.2 Linkage of collateral parameters to credit quality; 5.3.3 Threshold; 5.3.4 Independent amount 5.3.5 Minimum transfer amount and rounding |
| Record Nr. | UNINA-9910141391303321 |
|
Gregory Jon, Ph. D.
|
||
| Hoboken, NJ, : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Counterparty credit risk and credit value adjustment : a continuing challenge for global financial markets / / Jon Gregory
| Counterparty credit risk and credit value adjustment : a continuing challenge for global financial markets / / Jon Gregory |
| Autore | Gregory Jon, Ph. D. |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2012 |
| Descrizione fisica | 1 online resource (481 p.) |
| Disciplina | 332.64/57 |
| Altri autori (Persone) | GregoryJon, Ph. D. |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Derivative securities - Mathematical models
Risk management |
| ISBN |
1-118-67363-8
1-283-60383-7 9786613916280 1-118-31665-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets; Contents; Acknowledgements; List of Spreadsheets; List of Appendices; SECTION I: INTRODUCTION; 1 Introduction; 2 Background; 2.1 Introduction; 2.2 Financial risk; 2.2.1 Market risk; 2.2.2 Credit risk; 2.2.3 Liquidity risk; 2.2.4 Operational risk; 2.2.5 Integration of risk types; 2.3 Value-at-Risk; 2.3.1 Definition; 2.3.2 The dangers of VAR; 2.3.3 Models; 2.3.4 Correlation and dependency; 2.4 The derivatives market; 2.4.1 Uses of derivatives; 2.4.2 Exchange-traded and OTC derivatives
2.4.3 Risks of derivatives2.4.4 Too big to fail and systemic risk; 2.4.5 Credit derivatives; 2.5 Counterparty risk in context; 2.5.1 The rise of counterparty risk; 2.5.2 Counterparty risk and CVA; 2.5.3 Mitigating counterparty risk; 2.5.4 Counterparty risk and central clearing; 2.6 Summary; 3 Defining Counterparty Credit Risk; 3.1 Introducing counterparty credit risk; 3.1.1 Counterparty risk versus lending risk; 3.1.2 Settlement and pre-settlement risk; 3.1.3 Exchange-traded derivatives; 3.1.4 OTC-traded derivatives; 3.1.5 Repos and securities lending; 3.1.6 Mitigating counterparty risk 3.1.7 Counterparty risk players3.2 Components and terminology; 3.2.1 Credit exposure; 3.2.2 Default probability, credit migration and credit spreads; 3.2.3 Recovery and loss given default; 3.2.4 Mark-to-market and replacement cost; 3.2.5 Mitigating counterparty risk; 3.3 Control and quantification; 3.3.1 Credit limits; 3.3.2 Credit value adjustment; 3.3.3 CVA or credit limits?; 3.3.4 What does CVA represent?; 3.3.5 Hedging counterparty risk; 3.3.6 Portfolio counterparty risk; 3.4 Summary; SECTION II: MITIGATION OF COUNTERPARTY CREDIT RISK 4 Netting, Compression, Resets and Termination Features4.1 Introduction; 4.1.1 The origins of counterparty risk; 4.1.2 The ISDA master agreement; 4.2 Netting; 4.2.1 Payment netting; 4.2.2 The need for closeout netting; 4.2.3 Closeout netting; 4.2.4 Netting sets and subadditivity; 4.2.5 The impact of netting; 4.2.6 Product coverage; 4.3 Termination features and trade compression; 4.3.1 Reset agreements; 4.3.2 Additional termination events; 4.3.3 Walkaway features; 4.3.4 Trade compression and multilateral netting; 4.4 Conclusion; 5 Collateral; 5.1 Introduction; 5.1.1 Rationale for collateral 5.1.2 Analogy with mortgages5.1.3 The basics of collateralisation; 5.1.4 Collateral usage; 5.1.5 The credit support annex; 5.1.6 Impact of collateral; 5.2 Collateral terms; 5.2.1 Valuation agent; 5.2.2 Types of collateral; 5.2.3 Coverage of collateralisation; 5.2.4 Disputes and reconciliations; 5.2.5 Margin call frequency; 5.2.6 Haircuts; 5.2.7 Coupons and interest payments; 5.2.8 Substitution, funding costs and rehypothecation; 5.3 Defining the amount of collateral; 5.3.1 Types of CSA; 5.3.2 Linkage of collateral parameters to credit quality; 5.3.3 Threshold; 5.3.4 Independent amount 5.3.5 Minimum transfer amount and rounding |
| Record Nr. | UNINA-9910828065203321 |
|
Gregory Jon, Ph. D.
|
||
| Hoboken, NJ, : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera [[electronic resource] ] : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera [[electronic resource] ] : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, c2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-09767-9
9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910452254503321 |
|
MacKenzie Donald A
|
||
| Cambridge, Mass., : MIT Press, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, ©2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto non controllato |
SCIENCE, TECHNOLOGY & SOCIETY/General
ECONOMICS/Finance ECONOMICS/General |
| ISBN |
0-262-25004-7
1-282-09767-9 9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910777513803321 |
|
MacKenzie Donald A
|
||
| Cambridge, Mass., : MIT Press, ©2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, ©2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto non controllato |
SCIENCE, TECHNOLOGY & SOCIETY/General
ECONOMICS/Finance ECONOMICS/General |
| ISBN |
0-262-25004-7
1-282-09767-9 9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910824850303321 |
|
MacKenzie Donald A
|
||
| Cambridge, Mass., : MIT Press, ©2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA
| A factor model approach to derivative pricing / / James A. Primbs, California State University, Fullerton, USA |
| Autore | Primbs James A. |
| Pubbl/distr/stampa | Boca Raton, Florida : , : CRC Press, , [2014] |
| Descrizione fisica | 1 online resource (294 pages) : illustrations |
| Disciplina | 332.6457 |
| Soggetto topico |
Derivative securities - Prices
Derivative securities - Mathematical models Assets (Accounting) |
| ISBN |
1-4987-6335-9
1-315-38029-3 1-4987-6333-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | chapter 1. Building blocks and stochastic differential equation models -- chapter 2. Ito's Lemma -- chapter 3. Stochastic differential equations -- chapter 4. The factor model approach to arbitrage pricing -- chapter 5. Constructing a factor model pricing framework -- chapter 6. Equity derivatives -- chapter 7. Interest rate and credit derivatives -- chapter 8. Hedging -- chapter 9. Computation of solutions -- chapter 10. The road to risk neutrality. |
| Record Nr. | UNINA-9910155240903321 |
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Primbs James A.
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| Boca Raton, Florida : , : CRC Press, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Financial engineering and computation : principles, mathematics, algorithms / / Yuh-Dauh Lyuu [[electronic resource]]
| Financial engineering and computation : principles, mathematics, algorithms / / Yuh-Dauh Lyuu [[electronic resource]] |
| Autore | Lyuu Yuh-Dauh |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2002 |
| Descrizione fisica | 1 online resource (xix, 627 pages) : digital, PDF file(s) |
| Disciplina | 332.6/01/51 |
| Soggetto topico |
Financial engineering
Investments - Mathematical models Derivative securities - Mathematical models |
| ISBN |
1-139-93089-3
1-107-12041-1 1-280-42980-1 0-511-17591-4 0-511-04094-6 0-511-15660-X 0-511-32262-3 0-511-54683-1 0-511-04606-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Half-title; Title; Copyright; Dedication; Contents; Preface; Useful Abbreviations; CHAPTER ONE Introduction; CHAPTER TWO Analysis of Algorithms; CHAPTER THREE Basic Financial Mathematics; CHAPTER FOUR Bond Price Volatility; CHAPTER FIVE Term Structure of Interest Rates; CHAPTER SIX Fundamental Statistical Concepts; CHAPTER SEVEN Option Basics; CHAPTER EIGHT Arbitrage in Option Pricing; CHAPTER NINE Option Pricing Models; CHAPTER TEN Sensitivity Analysis of Options; CHAPTER ELEVEN Extensions of Options Theory; CHAPTER TWELVE Forwards, Futures, Futures Options, Swaps
CHAPTER THIRTEEN Stochastic Processes and Brownian Motion CHAPTER FOURTEEN Continuous-Time Financial Mathematics; CHAPTER FIFTEEN Continuous-Time Derivatives Pricing; CHAPTER SIXTEEN Hedging; CHAPTER SEVENTEEN Trees; CHAPTER EIGHTEEN Numerical Methods; CHAPTER NINETEEN Matrix Computation; CHAPTER TWENTY Time Series Analysis; CHAPTER TWENTY-ONE Interest Rate Derivative Securities; CHAPTER TWENTY-TWO Term Structure Fitting; CHAPTER TWENTY-THREE Introduction to Term Structure Modeling; CHAPTER TWENTY-FOUR Foundations of Term Structure Modeling CHAPTER TWENTY-FIVE Equilibrium Term Structure Models CHAPTER TWENTY-SIX No-Arbitrage Term Structure Models; CHAPTER TWENTY-SEVEN Fixed-Income Securities; CHAPTER TWENTY-EIGHT Introduction to Mortgage-Backed Securities; CHAPTER TWENTY-NINE Analysis of Mortgage-Backed Securities; CHAPTER THIRTY Collateralized Mortgage Obligations; CHAPTER THIRTY-ONE Modern Portfolio Theory; CHAPTER THIRTY-TWO Software; CHAPTER THIRTY-THREE Answers to Selected Exercises; Bibliography; Glossary of Useful Notations; Index |
| Altri titoli varianti | Financial Engineering & Computation |
| Record Nr. | UNINA-9910449889103321 |
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Lyuu Yuh-Dauh
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| Cambridge : , : Cambridge University Press, , 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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