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Interest Rate Models - Theory and Practice
  • Language: en
  • Pages: 1016

Interest Rate Models - Theory and Practice

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility model...

Counterparty Risk and Funding
  • Language: en
  • Pages: 380

Counterparty Risk and Funding

  • Type: Book
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  • Published: 2014-06-23
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  • Publisher: CRC Press

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s...

Financial Modeling
  • Language: en
  • Pages: 464

Financial Modeling

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Mo...

Interest Rate Models Theory and Practice
  • Language: en
  • Pages: 544

Interest Rate Models Theory and Practice

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility model...

Discounting, LIBOR, CVA and Funding
  • Language: en
  • Pages: 280

Discounting, LIBOR, CVA and Funding

  • Type: Book
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  • Published: 2012-08-06
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  • Publisher: Springer

Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.

Computational Information Geometry
  • Language: en
  • Pages: 312

Computational Information Geometry

  • Type: Book
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  • Published: 2016-11-24
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  • Publisher: Springer

This book focuses on the application and development of information geometric methods in the analysis, classification and retrieval of images and signals. It provides introductory chapters to help those new to information geometry and applies the theory to several applications. This area has developed rapidly over recent years, propelled by the major theoretical developments in information geometry, efficient data and image acquisition and the desire to process and interpret large databases of digital information. The book addresses both the transfer of methodology to practitioners involved in database analysis and in its efficient computational implementation.

Credit Models
  • Language: en
  • Pages: 512

Credit Models

  • Type: Book
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  • Published: 2007-12-14
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  • Publisher: Unknown

This text combines the theory and practice of pricing and implementing credit derivatives for credit risk modelling. It explains which models can be used in practice for many common scenarios and shows how to solve problems in the markets with adcanved mathematics and stochastic calculus.

Modern Financial Engineering: Counterparty, Credit, Portfolio And Systemic Risks
  • Language: en
  • Pages: 434

Modern Financial Engineering: Counterparty, Credit, Portfolio And Systemic Risks

The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance.Initially the focus is on the modeling of credit risk parameters mainly at the level of individual debtor and transaction, after which the book delves into counterparty credit risk, thus providing the link between credit and market risks. The second part is aimed at the portfolio level when multiple loans are pooled and default correlation becomes an important factor to consider and model. In this respect, the book explains how copulas help in modeling. The final stage is the macro perspective when the...

Transgender Athletes in Competitive Sport
  • Language: en
  • Pages: 233

Transgender Athletes in Competitive Sport

While efforts to include gay and lesbian athletes in competitive sport have received significant attention, it is only recently that we have begun examining the experiences of transgender athletes in competitive sport. This book represents the first comprehensive study of the challenges that transgender athletes face in competitive sport; and the challenges they pose for this sex-segregated institution. Beginning with a discussion of the historical role that sport has played in preserving sex as a binary, the book examines how gender has been policed by policymakers within competitive athletics. It also considers how transgender athletes are treated by a system predicated on separating males...

IFRS 9 and CECL Credit Risk Modelling and Validation
  • Language: en
  • Pages: 316

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management.