Modern Derivatives Pricing and Credit Exposure Analysis [electronic resource] : Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting /
Lichters, Roland.author.
Stamm, Roland.author.
Gallagher, Donal.author.
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.
Description based upon print version of record.
""Cover ""; ""Half-Title ""; ""Title""; ""Copyright""; ""Dedication""; ""Contents""; ""List of Figures""; ""List of Tables""; ""Preface""; ""Acknowledgements""; ""List of Abbreviations and Symbols""; ""I Discounting""; ""1 Discounting Before the Crisis""; ""1.1 The risk-free rate""; ""1.2 Pricing linear instruments""; ""1.2.1 Forward rate agreements""; ""1.2.2 Interest rate swaps""; ""1.2.3 FX forwards""; ""1.2.4 Tenor basis swaps""; ""1.2.5 Cross-currency basis swaps""; ""1.3 Curve building""; ""1.4 Pricing non-linear instruments""; ""1.4.1 Caps and floors""; ""1.4.2 Swaptions""
""2 What Changed with the Crisis""""2.1 Basis products and spreads""; ""2.1.1 Tenor basis swaps""; ""2.1.2 Cross-currency basis swaps""; ""2.2 Collateralization""; ""3 Clearing House Pricing""; ""3.1 Introduction of central counterparties""; ""3.2 Margin requirements""; ""3.3 Building the OIS curve""; ""3.4 USD specialities""; ""3.5 Building the forward projection curves""; ""3.6 More USD specialities""; ""3.7 Example: implying the par asset swap spread""; ""3.8 Interpolation""; ""3.9 Pricing non-linear instruments""; ""3.9.1 European swaptions""; ""3.9.2 Bermudan swaptions""
""3.10 Not all currencies are equal""""4 Global Discounting""; ""4.1 Collateralization in a foreign currency""; ""4.2 Non-rebalancing cross-currency swaps""; ""4.3 Rebalancing cross-currency swaps""; ""4.4 Examples: approximations of basis spreads""; ""4.4.1 Tenor basis spreads""; ""4.4.2 Flat cross-currency swaps""; ""4.4.3 OIS cross-currency basis spread""; ""4.4.4 LIBOR cross-currency basis spread""; ""5 CSA Discounting""; ""5.1 ISDA agreements and CSA complexities""; ""5.2 Currency options""; ""5.3 Negative overnight rates""; ""5.4 Other assets as collateral""
""5.5 Thresholds and asymmetries""""5.6 Some thoughts on initial margin""; ""6 Fair Value Hedge Accounting in a Multi-Curve World""; ""6.1 Introduction""; ""6.2 Hedge effectiveness""; ""6.3 Single-curve valuation""; ""6.4 Multi-curve valuation""; ""II Credit and Debit Value Adjustment""; ""7 Introduction""; ""8 Fundamentals""; ""8.1 Unilateral CVA""; ""8.2 Bilateral CVA""; ""9 Single Trade CVA""; ""9.1 Interest rate swap""; ""9.1.1 Exercise within interest periods""; ""9.1.2 Amortizing swap""; ""9.1.3 A simple swap CVA model""; ""9.2 Cash-settled European options""; ""9.3 FX forward""
""9.4 Cross-currency swap""""9.5 Rebalancing cross-currency swap""; ""III Risk Factor Evolution""; ""10 Introduction - A Monte CarloFramework""; ""11 Interest Rates""; ""11.1 Linear Gauss Markov model""; ""11.1.1 Multiple curves""; ""11.1.2 Invariances""; ""11.1.3 Relation to the Hull-White model in T-forward measure""; ""11.2 Products""; ""11.2.1 Zero bond option""; ""11.2.2 European swaption""; ""11.2.3 Bermudan swaption with deterministic basis""; ""11.2.4 Stochastic basis""; ""11.3 CSA discounting revisited""; ""11.4 Exposure evolution examples""; ""12 Foreign Exchange""
""12.1 Cross-currency LGM""
Includes bibliographical references and index.
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.
Econometrics.
Business mathematics.
Finance.
Econometrics.
Business Mathematics.
Finance, general.