UPC: 9789813203228 | Quantitative Analysis Derivatives Modeling and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market (Paperback)

UPC lookup results for: 9789813203228 | Quantitative Analysis Derivatives Modeling and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market (Paperback)

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. It is written from the viewpoint of financial engineers or practitioners and as such it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader to develop intuitions.Among the modeling and the numerical techniques presented are the practical applications of the martingale theories such as martingale model factory and martingale resampling and interpolation. In addition the book addresses the counterparty credit risk modeling pricing and arbitraging strategies from the perspective of a front office functionality and a revenue center (rather than merely a risk management functionality) which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products such as PRDC TARN Snowballs Snowbears CCDS and credit extinguishers.While the primary scope of this book is the fixed-income market (with further focus on the interest rate market) many of the methodologies presented also apply to other financial markets such as the credit equity foreign exchange and commodity markets.