Cover is for reference only

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

Saved in:
Bibliographic Details
Main Authors: Tang, Yi (Author)
Corporate Authors: World Scientific (Firm)
Group Author: Li, Bin
Published: World Scientific,
Publisher Address: Singapore ; Hackensack, N.J. :
Publication Dates: 2007.
Literature type: eBook
Language: English
Subjects:
Derivative securities > Mathematical models.
Finance > Mathematical models.
Speculation > Mathematical models.
Electronic books.
Online Access: http://www.worldscientific.com/worldscibooks/10.1142/4228#t=toc
Carrier Form: 1 online resource (xxii,498pages) : illustrations, charts ; 24 cm
Bibliography: Includes bibliographical references (pages [479]-489) and index.
ISBN: 9812706658 (electronic bk.)
9789812706652 (electronic bk.)
CLC: F830.91
Contents: Part I Theory and applications of derivatives modeling. Chapter 1 Introduction to Counterparty Credit Risk -- 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. Chapter 9 Simple Interest Rate Products -- Chapter 10 Yield Curve Modeling -- Chapter 11 Two-Factor Risk Model -- Chapter 12 The Holy Grail - Two-Factor Interest Rate Arbitrage -- Chapter 13 Yield Decomposition Model -- Chapter 14 Inflation Linked Instruments Modeling -- Chapter 15 Interest Rate Proprietary Trading Strategies.

Related Book Recommendations