TY  - BOOK
AU  - Glau,Kathrin
AU  - Grbac,Zorana
AU  - Scherer,Matthias
AU  - Zagst,Rudi
ED  - SpringerLink (Online service)
TI  - Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation 
T2  - Springer Proceedings in Mathematics & Statistics,
SN  - 9783319334462
AV  - HB135-147 
U1  - 519 23
PY  - 2016///
CY  - Cham
PB  - Springer International Publishing, Imprint: Springer
KW  - Economics, Mathematical 
KW  - Banks and banking
KW  - Statistics 
KW  - Mathematical models
KW  - Probabilities
KW  - Financial engineering
KW  - Quantitative Finance
KW  - Banking
KW  - Statistics for Business, Management, Economics, Finance, Insurance
KW  - Mathematical Modeling and Industrial Mathematics
KW  - Probability Theory and Stochastic Processes
KW  - Financial Engineering
N1  - Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering.; Open Access
N2  - This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
UR  - https://doi.org/10.1007/978-3-319-33446-2
ER  -