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


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.



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

About the editors

Kathrin Glau is a Junior Professor of Mathematical Finance at the Technical University of Munich. Her research focuses on the complex demands on numerical tools and modeling in today’s market. Her approach merges recent advances from numerical analysis and financial modeling in order to develop pricing methods in advanced models with the help of thorough error analysis are developed. Her speciality is Galerkin methods for partial integro-differential equations for (pure) jump Levy driven models.

Zorana Grbac is an Assistant Professor of Mathematical Finance at the Laboratoire de Probabilités et Modèles Aléatoires, University Paris Diderot. Her research interests include applications of Lévy processes and other stochastic processes with jumps in mathematical finance, with an emphasis on modeling of the term structure of interest rates and credit risk modeling. She also works on asymptotic methods for pricing of interest rate derivatives. She has published several research papers on multi-curve modeling, pricing and valuation adjustments and is co-author of the book "Interest Rate Modeling: Post-Crisis Challenges and Approaches".

Matthias Scherer is a Professor of Mathematical Finance at the Technical University of Munich. His research interests comprise various topics in Financial Mathematics, Actuarial Science, and Probability Theory. Concerning risk management, he has published research articles on portfolio-credit risk, dependence modeling, and model risk. He is an active member of the managerial boards of the DGVFM and the KPMG Center of Excellence in Risk Management. He is co-author of the book "Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications".

Rudi Zagst is a Professor of Mathematical Finance, Director of the Center of Mathematics and member of the managerial board of the KPMG Center of Excellence in Risk Management at the Technical University of Munich. He also serves as a professional trainer for a number of leading institutions. His current research interests are in financial engineering, risk and asset management.

Bibliographic information