Quantitative analysis, derivatives modeling, and trading strategies : in the presence of counterparty credit risk for fixed-income market /

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This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors? own research and practice. While the primary scope of this book is the fixed-income market (with further focus o...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Tang, Yi, 1962- (Autor), Li, Bin (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hackensack, NJ : World Scientific Pub., [2007]
Temas:
Derivative securities > Mathematical models.
Finance > Mathematical models.
Speculation > Mathematical models.
Instruments dérivés (Finances) > Modèles mathématiques.
Finances > Modèles mathématiques.
Spéculation > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Derivative securities > Mathematical models
Finance > Mathematical models
Speculation > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Part I. Theory and applications of dervivations modeling; Chapter 1. Introduction to Counterparty Credit Risk; Preface; Chapter 2. Martingale Arbitrage Pricing in Real Market; Chapter 3. The Black-Scholes Framework and Extensions; Chapter 4. Martingale Resampling and Interpolation; Chapter 5. Introduction to Interest Rate Term Structure Modeling; Chapter 6. The Heath-Jarrow-Morton Framework; Chapter 7. The Interest Rate Market Model; Chapter 8. Credit Risk Modeling and Pricing; Part II. Interest rate market fundamentals and proprietary trading strategies.

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