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Counterparty Credit Risk And Hybrid Models : Interest Rates, Commodities, Equity And Fx

Counterparty Credit Risk And Hybrid Models : Interest Rates, Commodities, Equity And Fx

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  • ISBN:9780470748466
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
  • Encuadernación:cartone
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:256
  • Idiomas:Ingles,Inglés

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The book's content is focused on quantitative methods of tackling valuation problems, supplying sound theoretical frameworks for the pricing and hedging of counterparty risk, linking particular models to particular 'concrete' financial situations. The authors also aim to help quantitative analysts, traders, and anyone else needing to measure counterparty risk, to develop a 'feel' for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others.

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