Overview
- Roadmap to finding practical solutions to the problem of computing counterparty credit exposure for large books of both vanilla and exotic derivatives usually traded by large Investment Banks
- Combines a rigorous but simple mathematical approach with a practical view of the financial problem at hand
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
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Table of contents (14 chapters)
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Front Matter
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Methodology
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Front Matter
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Architecture and Implementation
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Front Matter
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Products
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Front Matter
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Hedging and Managing Counterparty Risk
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Front Matter
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Back Matter
Keywords
About this book
Authors and Affiliations
About the authors
Giovanni Cesari is Managing Director at UBS. He has more than 10 years' experience in modelling and pricing counterparty credit exposure. Before moving to finance, Giovanni worked for several years in particle physics and in theoretical computer science. Giovanni holds a Laurea in Electrical Engineering from the University of Trieste, a Perfezionamento in Physics from the University of Padova, and a Ph.D. from ETH, Zurich.
John Aquilina holds an M.Phil. in Statistical Science from the University of Cambridge and a Ph.D. in Mathematical Finance from the University of Bath. He has worked on modelling counterparty credit exposure at UBS since 2005.
Niels Charpillon holds a Diplôme d'Ingénieur from Ecole des Mines, an M.Sc. in Financial Mathematics from Warwick Business School, and a Licence in Economics from University of St. Etienne. He joined the counterparty exposure team at UBS in 2006.
Zlatko Filipovic started working for UBS in 2005 as a Quantitative Analyst in the counterparty exposure team. Before joining UBS, Zlatko had been working for Mako Global Derivatives, London, as a Financial Engineer. Zlatko obtained a Ph.D. in Quantitative Finance from Imperial College, London, after graduating from the Faculty of Mathematics, University of Belgrade.
Gordon Lee joined the counterparty exposure team at UBS in 2006. Prior to UBS, he was a Senior Associate in quantitative risk and performance analysis at Wilshire Associates. Gordon holds an M.A. in Mathematics from Churchill College, University of Cambridge.
Ion Manda holds a Diploma de Inginer in Software Engineering from the University of Bucharest and a M.Sc. in Financial Engineering from Birkbeck College, University of London. He has been working in the credit exposure team at UBS since 2006. Ion has about 10 years' experience as a software engineer.
Bibliographic Information
Book Title: Modelling, Pricing, and Hedging Counterparty Credit Exposure
Book Subtitle: A Technical Guide
Authors: Giovanni Cesari, John Aquilina, Niels Charpillon, Zlatko Filipovic, Gordon Lee, Ion Manda
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-642-04454-0
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2009
Hardcover ISBN: 978-3-642-04453-3Published: 12 January 2010
Softcover ISBN: 978-3-642-26208-1Published: 01 March 2012
eBook ISBN: 978-3-642-04454-0Published: 06 December 2009
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XX, 254
Number of Illustrations: 70 b/w illustrations
Topics: Business and Management, general, Probability Theory and Stochastic Processes, Numerical Analysis, Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance