نوآوری در بازارهای مشتقه: مدل سازی درآمد ثابت، تنظیمات ارزش گذاری، مدیریت ریسک و مقررات (جلد ۱۶۵.۰) ۲۰۱۶
Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation (Volume 165.0) 2016

1. Preface

2. Foreword

3. Contents

4. Part I Valuation Adjustments

5. Nonlinearity Valuation Adjustment

6. Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects

7. Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives

8. Tight Semi-model-free Bounds on (Bilateral) CVA

9. CVA with Wrong-Way Risk in the Presence of Early Exercise

10. Simultaneous Hedging of Regulatory and Accounting CVA

11. Capital Optimization Through an Innovative CVA Hedge

12. FVA and Electricity Bill Valuation Adjustment---Much of a Difference?

13. Part II Fixed Income Modeling

14. Multi-curve Modelling Using Trees

15. Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model

16. Multi-curve Construction

17. Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments

18. A Generalized Intensity-Based Framework for Single-Name Credit Risk

19. Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model

20. Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis

21. Part III Financial Engineering

22. Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model

23. Pricing Shared-Loss Hedge Fund Fee Structures

24. Negative Basis Measurement: Finding the Holy Scale

25. The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos

26. The Impact of Cointegration on Commodity Spread Options

27. The Dynamic Correlation Model and Its Application to the Heston Model