Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing (Applied Quantitative Finance)
| Author | : | |
| Rating | : | 4.75 (932 Votes) |
| Asin | : | 1137268514 |
| Format Type | : | paperback |
| Number of Pages | : | 227 Pages |
| Publish Date | : | 2013-11-05 |
| Language | : | English |
DESCRIPTION:
He was previously Head of Valuation at HRE Group, and has also held positions as Head of Market Risk Products, Head of IT Development and Project Manager, all at DEPFA Bank. Chris holds a PhD in Applied Mathematics from Cambridge University where he was a Research Fellow (Computer Modeling), and an MSc in Operations Research from the University of Austin, Texas. He is a regular writer and conference speaker, his papers have appeared in Quantitative Finance, R
'The ongoing economic situation is pushing researchers to re-discuss and update the fundamentals of financial modeling. It is great to find a quantitatively detailed analysis of such aspects in a single book, and readers who are open-minded and attentive to the current challenges posed by the market will find this book to be informative, relevant, pleasant to read and even entertaining.' - Professor Damiano Brigo, Head of the Mathematical Finance Research Group, Imperial College, London, UK, and author of Interest Rate Models: Theory and Practice and Credit Models and the Crisis.. Writing an encyclopaedic book on financial modeling for exotics based on the risk free rate, a unique discount curve, no credit risk and no
"Five Stars" according to FERNANDO RIVERA. Spot on reference!!!
Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.