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Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing - Couverture rigide

Livre 1 sur 14: Applied Quantitative Finance

Kenyon, C.; Stamm, R.

 
9781137268518: Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing
Couverture rigide
ISBN 10 : 1137268514 ISBN 13 : 9781137268518
Editeur : Palgrave Macmillan, 2012

Synopsis

Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

Dr. Chris Kenyon (London, UK) is a Director at Lloyds Banking Group in the front office Quantitative Research - CVA / FVA group. Previously he was head quant for counterparty risk at Credit Suisse, and at DEPFA Bank PLC he was Head of Structured Credit Valuation (post crisis), working on pricing model development and validation, and market risk. He has also held positions at IBM Research, and Schlumberger where he applied real options pricing to everything from offshore rig lease extension options to variable volume outsourcing contracts. Chris holds a PhD in Applied Mathematics from Cambridge University where he was a Research Fellow (Computer Modeling), and an MSc in Operations Research from the University of Austin, Texas. He is a regular writer and conference speaker, his papers have appeared in Quantitative Finance, Risk Magazine, Operations Research, IEEE Computer amongst others, and presented at academic conferences and industry meetings including those organized by Bachelier Finance Society, WBS, Marcus Evans, Risk Magazine, and many more.

Dr. Roland Stamm is Head of Risk Methods and Valuation at HRE Group (formerly DEPFA Bank), where he is responsible (among other things) for the development of new pricing models, model set up, validation and calibration, CVA adjustments and market risk methodology. He was previously Head of Valuation at HRE Group, and has also held positions as Head of Market Risk Products, Head of IT Development andProject Manager, all at DEPFA Bank. He holds a PhD in Mathematics (Algebraic Topology) from the Westfälische Wilhelms-Universität, Münster where he was awarded a magna cum laude for his thesis The K- and L- Theory of Certain Discrete Groups, and received a master's degree in Mathematics from the Johannes-Gutenberg-Universität, Mainz.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Palgrave Macmillan
Date d'édition
2012
Langue
anglais
ISBN 10 
1137268514
ISBN 13 
9781137268518
Reliure
Relié
Nombre de pages
251
Coordonnées du fabricant
non disponible
Personne responsable
Koch-Chemie GmbH
https://www.koch-chemie.com

Einsteinstr. 42
Unna
59423
Allemagne

Autres éditions populaires du même titre

9781349443475: Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing

Edition présentée

ISBN 10 :  1349443476 ISBN 13 :  9781349443475
Editeur : Palgrave Macmillan, 2012
Couverture souple