Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing (Applied Quantitative Finance) (Hardcover)

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Description


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.

Praise For…


"The ongoing economic situation is pushing researchers to re-discuss and update the fundamentals of financial modeling. Writing an encyclopedic book on financial modeling for exotics based on the risk free rate, a unique discount curve, no credit risk and no liquidity costs would be neither relevant nor realistic in 2012. This is not such a book. The reader will find here an interesting tackling of current and relevant problems such as multi-curve modeling and credit valuation adjustments, with a very interesting discussion of closeout and especially goodwill, which cannot be found anywhere else to the best of this endorser's knowledge. Funding costs, hints at systemic risk, regulation, and Basel III are also considered. It is great to find a quantitatively detailed analysis of such aspects in a single book, and readers who are open-minded and attentive to the current challenges posed by the market will find this book to be informative, relevant, pleasant to read, and even entertaining." - Prof. Damiano Brigo, Head of the Mathematical Finance Research Group, Imperial College, London, and author of Interest Rate Models: Theory and Practice (Springer) and Credit Models and the Crisis (Wiley).



Product Details
ISBN: 9781137268518
ISBN-10: 1137268514
Publisher: Palgrave MacMillan
Publication Date: August 6th, 2012
Pages: 227
Language: English
Series: Applied Quantitative Finance

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