You are here

Modelling, Pricing, and Hedging Counterparty Credit Exposure: A Technical Guide

Giovanni Cesari et al.
Publisher: 
Springer
Publication Date: 
2010
Number of Pages: 
254
Format: 
Hardcover
Series: 
Springer Finance
Price: 
89.95
ISBN: 
9783642044533
Category: 
Monograph
We do not plan to review this book.

Preface.- Glossary.- Abbreviations and Notation.- Part I: Methodology.- 1.Introduction.- 2.Modelling Framework.- 3.Simulation Models.- 4.Valuation and Sensitivities.- Part II: Architecture and Implementation.- 5.Computational Framework.- 6.Implementation.- 7.Architecture.- Part III: Products.- 8.Interest Rate Products.- 9.Equity, Commodity, Inflation and FX Products.- 10.Credit Derivatives.- 11.Hybrids and Structures.- Part IV: Hedging and Managing Counterparty Risk.- 12.Counterparty Risk Aggregation and Risk Mitigation.- 13.Combining Market and Credit Risk.- 14.Pricing Counterparty Credit Risk.- Apendix: Approximations.- References.- Index.

Tags: 

Dummy View - NOT TO BE DELETED