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Table of contents (11 chapters)
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Front Matter
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Back Matter
About this book
Reviews
'The ongoing economic situation is pushing researchers to re-discuss and update the fundamentals of financial modeling. Writing an encyclopaedic book on financial modeling for exotics based on the risk free rate, a unique discount curve, no credit risk and no liquidity costs would be neither relevant nor realistic in 2012. This is not such a book. The reader will find here an interesting tackling of current and relevant problems such as multi-curve modeling and credit valuation adjustments, with a very interesting discussion of closeout and especially goodwill, which cannot be found anywhere else to the best of this endorser's knowledge. Funding costs, hints at systemic risk, regulation and Basel III are also considered. 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.
About the authors
Dr. Roland Stamm is Head of Risk Methods and Valuation at HRE Group (formerly DEPFA Bank), where he is responsible (among other things) for the development of new pricing models, model set up, validation and calibration, CVA adjustments and market risk methodology. He was previously Head of Valuation at HRE Group, and has also held positions as Head of Market Risk Products, Head of IT Development andProject Manager, all at DEPFA Bank. He holds a PhD in Mathematics (Algebraic Topology) from the Westfälische Wilhelms-Universität, Münster where he was awarded a magna cum laude for his thesis The K- and L- Theory of Certain Discrete Groups, and received a master's degree in Mathematics from the Johannes-Gutenberg-Universität, Mainz.
Bibliographic Information
Book Title: Discounting, LIBOR, CVA and Funding
Book Subtitle: Interest Rate and Credit Pricing
Authors: Chris Kenyon, Roland Stamm
Series Title: Applied Quantitative Finance
DOI: https://doi.org/10.1057/9781137268525
Publisher: Palgrave Macmillan London
eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)
Copyright Information: Palgrave Macmillan, a division of Macmillan Publishers Limited 2012
Hardcover ISBN: 978-1-137-26851-8Published: 06 August 2012
Softcover ISBN: 978-1-349-44347-5Published: 01 January 2012
eBook ISBN: 978-1-137-26852-5Published: 06 August 2012
Series ISSN: 2947-700X
Series E-ISSN: 2947-7018
Edition Number: 1
Number of Pages: XXIV, 227
Topics: Business Finance, Operations Research/Decision Theory, Accounting/Auditing, Finance, general, Business Mathematics, Financial Engineering