Modern Derivatives Pricing and Credit Exposure Analysis: Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting (Applied Quantitative Finance)
| Author | : | |
| Rating | : | 4.59 (685 Votes) |
| Asin | : | 1137494832 |
| Format Type | : | paperback |
| Number of Pages | : | 466 Pages |
| Publish Date | : | 2016-08-17 |
| Language | : | English |
DESCRIPTION:
In his banking work, he focused on market and credit risk methodology as well as the pricing and risk management of complex financial products. As founding Partner of Quaternion Risk Management, responsible for R&D, he focusses – besides his consulting and advisory work – on the company's QuantLib-based
The usual limitations for such a comprehensive book are present, e.g. It provides a forensically detailed analysis of credit processes, mapping their limitations and highlights directions that avoid them (developed in detail from the Peng-Kou approach). There is a fully worked out multi-asset framework based on the Linear Gaussian Model (LGM) with particular depth on inflation with both Jarrow-Yildrim and Dodgson-Kainth models. There are three chapters developing discounting from a CCP point of view, a global view and a CSA-based view. limited treatment of smile modelling in a multi-curve setup (worth a book by itself), and limited coverage of the trade-offs in XVA between the costs of hedging risks and the (capital and modelling) costs of open risks (ofte
Buy this bookfor the right reasons DO NOT BUY THIS BOOKif you are looking for the appendix on the "Change of Numeraire Toolkit." It is billed as a treatment of Brigo & Mercurio's chapter of the same name. In this book, the appendix merely gives a recounting of the standard treatment on the relationship measure and
Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.. This book provides a comprehensive guide for modern derivatives pricing and credit analysis