XVA of Financial Derivatives: CVA, DVA and FVA Explained, Lu Dongsheng

Автор: C. Kenyon; R. Stamm
Название: Discounting, LIBOR, CVA and Funding
ISBN: 1349443476 ISBN-13(EAN): 9781349443475
Издательство: Springer
Рейтинг:
Цена: 6288.00 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: 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.

Автор: Smith, Donald J.
Название: Valuation in a world of cva, dva, and fva : a tutorial on debt securities and interest rate derivatives
ISBN: 9813224169 ISBN-13(EAN): 9789813224162
Издательство: World Scientific Publishing
Рейтинг:
Цена: 6653.00 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation adjustments, have become widely used by major banks since the financial crisis. This book aims to bridge the gap between the highly complex and mathematical models used by these banks to adjust the value of debt securities and interest rate derivatives, and the end users of the valuations, for example, accountants, auditors, and analysts. The book, which is essentially a tutorial, demonstrates the types of models that are used using binomial trees that are featured in the CFA® fixed income curriculum and allows readers to replicate the examples using a spreadsheet.

Автор: Ruiz
Название: XVA Desks - A New Era for Risk Management
ISBN: 1137448199 ISBN-13(EAN): 9781137448194
Издательство: Springer
Рейтинг:
Цена: 11878.00 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Written by a practitioner with years working in CVA, FVA and DVA this is a thorough, practical guide to a topic at the very core of the derivatives industry. It takes readers through all aspects of counterparty credit risk management and the business cycle of CVA, DVA and FVA, focusing on risk management, pricing considerations and implementation.

Автор: Green Andrew
Название: XVA
ISBN: 111855678X ISBN-13(EAN): 9781118556788
Издательство: Wiley
Рейтинг:
Цена: 9979.00 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This new book seeks to navigate the reader through the complexities of CVA, DVA and FVA. Modelling frameworks for these three quantities are discussed in detail including the very latest developments in FVA and OIS discounting. The book covers simple analytic models through to complex multi-asset class Monte Carlo engines.