Description |
1 online resource (xxi, 355 pages) : illustrations |
Series |
Chapman & Hall/CRC financial mathematics series |
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Chapman & Hall/CRC financial mathematics series.
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Contents |
Front Cover; Contents; Preface; Introduction; Outline; About the title of the book; Standing Notation, Terminology and Assumptions; Bibliographic Guidelines; Acknowledgements; Part I: Financial Landscape; Chapter 1: A Galilean Dialogue on Counterparty Risk, CVA, DVA, Multiple Curves, Collateral and Funding; Chapter 2: The Whys of the LOIS; Part II: Model-Free Developments; Chapter 3: Pure Counterparty Risk; Chapter 4: Bilateral Counterparty Risk under Funding Constraints; Part III: Reduced-Form BSDE Modeling |
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Chapter 5: A Reduced-Form TVA BSDE Approach to Counterparty Risk under Funding ConstraintsChapter 6: The Four Wings of the TVA; Part IV: Dynamic Copula Models; Chapter 7: Dynamic Gaussian Copula Model; Chapter 8: Common-Shock Model; Chapter 9: CVA Computations for One CDS in the Common-Shock Model; Chapter 10: CVA Computations for Credit Portfolios in the Common-Shock Model; Part V: Further Developments; Chapter 11: Rating Triggers and Credit Migrations; Chapter 12: A Unified Perspective; Part VI: Mathematical Appendix; Chapter 13: Stochastic Analysis Prerequisites |
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Chapter 14: Markov Consistency and Markov CopulasBibliography; Back Cover |
Summary |
Financial Landscape A Galilean Dialogue on Counterparty Risk, CVA, DVA, Multiple Curves, Collateral, and Funding To the Discerning Reader The First Day The Second Day The Third Day The Fourth Day The Whys of the LOIS Financial Setup Indifference Valuation Model LOIS Formula Numerical Study Model-Free DevelopmentsPure Counterparty Risk Cash Flows Valuation and Hedging CSA Specifications Bilateral Counterparty Risk under Funding Constraints Introduction Market Model Trading Strategies Martingale Pricing Approach TVA Example Reduced-Form BSDE Modeling A Reduced-Form TVA BSDE Approach to Counterpa |
Bibliography |
Includes bibliographical references (pages 343-355) |
Notes |
Online resource; title from title page (Safari, viewed January 8, 2015) |
Subject |
Finance -- Mathematical models.
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Credit -- Mathematical models
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Credit derivatives -- Mathematical models
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Financial risk -- Mathematical models
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BUSINESS & ECONOMICS -- Finance.
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Finance -- Mathematical models
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Credit -- Mathematical models
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Form |
Electronic book
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Author |
Bielecki, Tomasz R., 1955- author.
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Brigo, Damiano, 1966- writer of introduction.
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ISBN |
9781466516465 |
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1466516461 |
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9781315373621 |
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1315373629 |
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