Quantitative Analysis, Derivatives Modeling, And Trading Strategies: In The Presence Of Counterparty Credit Risk For The Fixed-Income Market - Couverture souple

Tang, Yi

 
9789813203228: Quantitative Analysis, Derivatives Modeling, And Trading Strategies: In The Presence Of Counterparty Credit Risk For The Fixed-Income Market
Couverture souple
ISBN 10 : 9813203226 ISBN 13 : 9789813203228
Editeur : Wspc, 2007

Synopsis

This 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. It is written from the viewpoint of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader to develop intuitions.Among the modeling and the numerical techniques presented are the practical applications of the martingale theories, such as martingale model factory and martingale resampling and interpolation. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies from the perspective of a front office functionality and a revenue center (rather than merely a risk management functionality), which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, and credit extinguishers.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, foreign exchange, and commodity markets.

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

Éditeur
Wspc
Date d'édition
2007
Langue
anglais
ISBN 10 
9813203226
ISBN 13 
9789813203228
Reliure
Broché
Nombre de pages
520
Coordonnées du fabricant
non disponible
Personne responsable
non disponible

Autres éditions populaires du même titre

9789810240790: Quantitative Analysis, Derivatives Modeling, And Trading Strategies: In the Presence of Counterparty Credit Risk for The Fixed-Income Market

Edition présentée

ISBN 10 :  9810240791 ISBN 13 :  9789810240790
Editeur : World Scientific Publishing Co P..., 2007
Couverture rigide