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Discounting, LIBOR, CVA and Funding

Interest Rate and Credit Pricing

Specificaties
Gebonden, blz. | Engels
Palgrave Macmillan UK | e druk, 2012
ISBN13: 9781137268518
Rubricering
Palgrave Macmillan UK e druk, 2012 9781137268518
Onderdeel van serie Applied Quantitative Finance
Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

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.

Specificaties

ISBN13:9781137268518
Taal:Engels
Bindwijze:gebonden
Uitgever:Palgrave Macmillan UK

Inhoudsopgave

Preface Acknowledgements Back to the Basics Bootstrapping of Zero Curves Introduction to Credit Spreads A Plethora of Credit Spreads Introduction to Basis Spreads Local Discount Curves Global Discount Curve Non-Linear Products CVA: Instrument Level CVA: Firm Level Basel III Backtesting Bibliography

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        Discounting, LIBOR, CVA and Funding