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Modern Derivatives Pricing and Credit Exposure Analysis

Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting

  • Authors
  • Roland Lichters
  • Roland Stamm
  • Donal Gallagher

Part of the Applied Quantitative Finance book series (AQF)

Table of contents

  1. Front Matter
    Pages i-xxxii
  2. Discounting

    1. Front Matter
      Pages 1-1
    2. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 3-13
    3. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 14-20
    4. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 21-34
    5. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 35-43
    6. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 44-51
    7. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 52-66
  3. Credit and Debit Value Adjustment

    1. Front Matter
      Pages 67-67
    2. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 69-70
    3. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 71-78
    4. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 79-101
  4. Risk Factor Evolution

    1. Front Matter
      Pages 103-103
    2. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 105-106
    3. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 107-133
    4. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 134-154
    5. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 155-184
    6. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 185-190
    7. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 191-234
  5. XVA

    1. Front Matter
      Pages 235-239
    2. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 240-258
    3. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 259-266
    4. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 267-273
    5. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 274-282
    6. FVA
      Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 283-305
    7. KVA
      Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 306-309
  6. Credit Risk

    1. Front Matter
      Pages 311-311
    2. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 313-332
    3. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 333-350
    4. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 351-379
    5. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 380-392
  7. Appendix

    1. Front Matter
      Pages 393-393
    2. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 395-397
    3. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 398-399
    4. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 400-402
    5. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 403-422
    6. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 423-432
    7. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 433-440
    8. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 441-445
    9. Roland Lichters, Roland Stamm, Donal Gallagher
      Pages 446-449
  8. Back Matter
    Pages 450-466

About this book

Introduction

This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

Keywords

calculus derivatives inflation modeling Simulation swaps valuation

Bibliographic information

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