Table of contents

  1. Front Matter
    Pages i-x
  2. Valuation Adjustments

    1. Front Matter
      Pages 1-1
    2. Damiano Brigo, Qing D. Liu, Andrea Pallavicini, David Sloth
      Pages 3-35 Open Access
    3. Damiano Brigo, Marco Francischello, Andrea Pallavicini
      Pages 37-52 Open Access
    4. Stéphane Crépey, Tuyet Mai Nguyen
      Pages 53-82 Open Access
    5. Jördis Helmers, Jan-J. Rückmann, Ralf Werner
      Pages 83-101 Open Access
    6. Roberto Baviera, Gaetano La Bua, Paolo Pellicioli
      Pages 103-116 Open Access
    7. Christoph Berns
      Pages 117-132 Open Access
    8. Michael Hünseler, Dirk Schubert
      Pages 133-146 Open Access
    9. Damiano Brigo, Christian P. Fries, John Hull, Matthias Scherer, Daniel Sommer, Ralf Werner
      Pages 147-168 Open Access
  3. Fixed Income Modeling

    1. Front Matter
      Pages 169-169
    2. John Hull, Alan White
      Pages 171-189 Open Access
    3. Zorana Grbac, Laura Meneghello, Wolfgang J. Runggaldier
      Pages 191-226 Open Access
    4. Christian P. Fries
      Pages 227-250 Open Access
    5. Giacomo Bormetti, Damiano Brigo, Marco Francischello, Andrea Pallavicini
      Pages 251-266 Open Access
    6. Frank Gehmlich, Thorsten Schmidt
      Pages 267-283 Open Access
    7. Ernst Eberlein, M’hamed Eddahbi, Sidi Mohamed Lalaoui Ben Cherif
      Pages 285-313 Open Access
    8. Vilimir Yordanov
      Pages 315-331 Open Access
  4. Financial Engineering

    1. Front Matter
      Pages 333-333
    2. Daniël Linders, Wim Schoutens
      Pages 335-367 Open Access

About these proceedings

Introduction

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.

 

Keywords

91G20, 91G30, 91G40, 60H30, 60G15, 60G44 counterparty credit risk valuation adjustments multi-curve models risk management regulation derivatives markets fixed income modeling interest rate modeling derivatives pricing liquidity financial engineering

Editors and affiliations

  • Kathrin Glau
    • 1
  • Zorana Grbac
    • 2
  • Matthias Scherer
    • 3
  • Rudi Zagst
    • 4
  1. 1.Lehrstuhl für FinanzmathematikTechnische Universität MünchenGarching-HochbrückGermany
  2. 2.LPMAUniversité Paris–Diderot (Paris 7)Paris Cedex 13France
  3. 3.Lehrstuhl für FinanzmathematikTechnische Universität MünchenGarching-HochbrückGermany
  4. 4.Lehrstuhl für FinanzmathematikTechnische Universität MünchenGarching-HochbrückGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-33446-2
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2016
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-33445-5
  • Online ISBN 978-3-319-33446-2
  • Series Print ISSN 2194-1009
  • Series Online ISSN 2194-1017
  • About this book