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Format: 1 online resource (446 pages)

ISBN: 9783319334462

Series Statement: Springer Proceedings in Mathematics and Statistics Ser. ; v.165

Note: Intro -- Preface -- Foreword -- Contents -- Part I Valuation Adjustments -- Nonlinearity Valuation Adjustment -- 1 Introduction -- 2 Trading Under Collateralization, Close-Out Netting, and Funding Risk -- 2.1 Collateralization -- 2.2 Close-Out Netting -- 2.3 Funding Risk -- 3 Generalized Derivatives Valuation -- 3.1 Discrete-Time Solution -- 3.2 Continuous-Time Solution -- 4 Nonlinear Valuation: A Numerical Analysis -- 4.1 Monte Carlo Pricing -- 4.2 Case Outline -- 4.3 Preliminary Valuation Under Symmetric Funding and Without Credit Risk -- 4.4 Complete Valuation Under Credit Risk, Collateral, and Asymmetric Funding -- 4.5 Nonlinearity Valuation Adjustment -- 5 Conclusions and Financial Implications -- References -- Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects -- 1 Introduction -- 2 Cash Flows Analysis and First Valuation Equation -- 2.1 The Cash Flows -- 2.2 Adjusted Cash Flows Under a Simple Trading Model -- 3 An FBSDE Under mathcalF -- 4 Markovian FBSDE and PDE for widetildeVt and the Invariance Theorem -- References -- Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives -- 1 Introduction -- 2 Prices -- 2.1 Setup -- 2.2 Clean Price -- 2.3 All-Inclusive Price -- 3 TVA BSDEs -- 3.1 Full TVA BSDE -- 3.2 Partially Reduced TVA BSDE -- 3.3 Fully Reduced TVA BSDE -- 3.4 Marked Default Time Setup -- 4 TVA Numerical Schemes -- 4.1 Linear Approximation -- 4.2 Linear Expansion and Interacting Particle Implementation -- 4.3 Marked Branching Diffusion Approach -- 5 TVA Models for Credit Derivatives -- 5.1 Dynamic Gaussian Copula TVA Model -- 5.2 Dynamic Marshall--Olkin Copula TVA Model -- 5.3 Strong Versus Weak Dynamic Copula Model -- 6 Numerics -- 6.1 Numerical Results in the DGC Model -- 6.2 Numerical Results in the DMO Model -- 7 Conclusion -- References. , Tight Semi-model-free Bounds on (Bilateral) CVA -- 1 Introduction -- 2 Counterparty Default Risk -- 3 The Main Building Blocks of CVA -- 4 Models for Counterparty Risk -- 4.1 Independence of CVA Components -- 4.2 Modeling Options on the Basis Transaction -- 4.3 Hybrid Models---An Example -- 5 Tight Bounds on CVA -- 5.1 Tight Bounds on CVA by Mass Transportation -- 5.2 An Alternative Formulation as Assignment Problem -- 6 Example -- 6.1 Setup -- 6.2 Results -- 6.3 Computation Time, Choice of Algorithm, and Impact of Assumptions -- 7 Conclusion and Outlook -- References -- CVA with Wrong-Way Risk in the Presence of Early Exercise -- 1 Introduction -- 2 CVA Pricing and WWR -- 3 The Impact of Early Exercise -- 3.1 The Pricing Problem -- 3.2 The Plain Vanilla Case -- 4 The Bermudan Swaption Case -- 5 Concluding Remarks -- References -- Simultaneous Hedging of Regulatory and Accounting CVA -- 1 Introduction -- 2 Counterparty Risk from a Regulatory Perspective: The Standardized CVA Risk Charge -- 2.1 Standardized CVA Risk Charge as Volatility -- 3 Counterparty Risk from an Accounting Perspective -- 3.1 CVA Hedging from an Accounting Perspective -- 4 Portfolio P& -- L -- 4.1 Portfolio P& -- L Without CVA -- 4.2 Impact with CVA -- 4.3 Impact of CVA Risk Charge Hedging on the Accounting P& -- L Volatility -- 5 Determination of the Optimal Hedge Strategy -- 5.1 Special Cases -- References -- Capital Optimization Through an Innovative CVA Hedge -- 1 Preface -- 2 The Role of Collateral in OTC Contracts and Its Legal Basis -- 2.1 The Role of Legal Versus Economic Ownership -- 2.2 Affected Market Participants -- 2.3 Financial Instruments Involving Collateral and Standard Legal Frameworks (Master Agreements) -- 2.4 Credit and Counterparty Risk Related to Collateral -- 3 Terms of Liquidity and Definition of Liquidity Transformation. , 3.1 Terms of Liquidity -- 3.2 Comparison of Secured and Unsecured Financing -- 3.3 Liquidity Transformation -- 4 New Approach to CVA Hedging -- 4.1 Issue -- 4.2 Solution -- 4.3 Application -- 4.4 Example -- 5 Conclusion -- References -- FVA and Electricity Bill Valuation Adjustment---Much of a Difference? -- 1 Welcome -- 2 Damiano Brigo -- 3 Christian Fries -- 4 John Hull -- 5 Daniel Sommer -- 5.1 Acknowledgements, Credits, and Disclaimer -- References -- Part II Fixed Income Modeling -- Multi-curve Modelling Using Trees -- 1 Introduction -- 2 The LIBOR-OIS Spread -- 3 The Methodology -- 4 A Simple Three-Step Example -- 5 Valuation of a Spread Option -- 6 Bermudan Swap Option -- 7 Conclusions -- References -- Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model -- 1 Introduction -- 2 Preliminaries -- 2.1 Discount Curve and Collateralization -- 2.2 Martingale Measures -- 3 Short Rate Model -- 3.1 The Model -- 3.2 Bond Prices (OIS and Libor Bonds) -- 3.3 Forward Measure -- 4 Pricing of Linear Interest Rate Derivatives -- 4.1 FRAs -- 4.2 Interest Rate Swaps -- 5 Nonlinear/optional Interest Rate Derivatives -- 5.1 Caps and Floors -- 5.2 Swaptions -- References -- Multi-curve Construction -- 1 Introduction -- 2 Foundations, Assumptions, Notation -- 3 Discount Curves -- 4 Forward Curves -- 4.1 Performance Index of a Discount Curve (or ``Self-Discounting'') -- 5 Interpolation of Curves -- 5.1 Implementing the Interpolation of a Curve: Interpolation Method and Interpolation Entities -- 5.2 Interpolation Time -- 5.3 Interpolation of Forward Curves -- 5.4 Assessment of the Interpolation Method -- 6 Implementation of the Calibration of Curves -- 6.1 Generalized Definition of a Swap -- 6.2 Calibration of Discount Curve to Swap Paying the Collateral Rate (aka. Self-Discounted Swaps). , 6.3 Calibration of Forward Curves -- 6.4 Calibration of Discount Curves When Payment and Collateral Currency Differ -- 6.5 Lack of Calibration Instruments (for Difference in Collateralization) -- 6.6 Implementation -- 7 Redefining Forward Rate Market Models -- 8 Some Numerical Results -- 8.1 Impact of the Interpolation Entity of a Forward Curve on the Delta Hedge -- 8.2 Impact of the Lack of Calibration Instruments for the Case of a Foreign Swap Collateralized in Domestic Currency -- 8.3 Impact of the Interpolation Scheme on the Hedge Efficiency -- 9 Conclusion -- References -- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments -- 1 Introduction -- 2 Valuation Equation with Credit and Collateral -- 2.1 Valuation Framework -- 2.2 The Master Equation Under Change of Filtration -- 3 Valuing Collateralized Interest-Rate Derivatives -- 3.1 Overnight Rates and OIS -- 3.2 LIBOR Rates, IRS and Basis Swaps -- 3.3 Modeling Constraints -- 4 Interest-Rate Modeling -- 4.1 Multiple-Curve Collateralized HJM Framework -- 4.2 Numerical Results -- References -- A Generalized Intensity-Based Framework for Single-Name Credit Risk -- 1 Introduction -- 2 A General Account on Credit Risky Bond Markets -- 2.1 The Generalized Intensity-Based Framework -- 2.2 An Extension of the HJM Approach -- 3 Affine Models in the Generalized Intensity-Based Framework -- 4 Conclusion -- References -- Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model -- 1 Introduction -- 2 The Lévy Forward Process Model -- 3 Fourier-Based Methods for Option Pricing -- 4 Sensitivity Analysis -- 4.1 Greeks Computed by the Malliavin Approach -- 4.2 Greeks Computed by the Fourier-Based Valuation Method -- 4.3 Examples -- References -- Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis -- 1 Introduction -- 2 Local Currency Bonds No-Arbitrage HJM Setting. , 2.1 Risky Bonds Under Marked Point Process -- 2.2 Model Formulation -- 3 CDS-Bond Basis -- 3.1 General Notes -- 3.2 Technical Notes -- 3.3 CDS-Bond Basis Empirics -- 4 Conclusion -- References -- Part III Financial Engineering -- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model -- 1 Introduction -- 2 The One-Factor Lévy Model -- 2.1 The Model -- 2.2 The Risk-Neutral Stock Price Processes -- 3 A Three-Moments-Matching Approximation -- 3.1 Matching the First Three Moments -- 3.2 Approximate Basket Option Pricing -- 3.3 The FFT Method and Basket Option Pricing -- 4 Examples and Numerical Illustrations -- 4.1 Variance Gamma -- 4.2 Pricing Basket Options -- 5 Implied Lévy Correlation -- 5.1 Variance Gamma -- 5.2 Double Exponential -- 6 Conclusion -- References -- Pricing Shared-Loss Hedge Fund Fee Structures -- 1 Introduction -- 2 Hedge Fund Fees -- 3 The First-Loss Model -- 4 An Option Pricing Framework -- 4.1 Payoff to the Investor -- 4.2 Payoff to the Manager -- 4.3 Valuation: Pricing Fees as Derivatives -- 5 Consequences of the Derivative Pricing Framework -- 5.1 Graphical Analysis -- 5.2 Sensitivity Analysis -- 6 Conclusion -- References -- Negative Basis Measurement: Finding the Holy Scale -- 1 Introduction -- 2 Why Does Negative Basis Exist? -- 3 General Notations -- 4 Traditional Measurements -- 4.1 The Z-Spread Methodology -- 4.2 The Par-Equivalent CDS Methodology -- 5 An Innovative Methodology -- 6 Conclusion -- References -- The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos -- 1 Introduction -- 2 The Equity Derivatives Model -- 3 Measuring the Price Performance of the Outstanding CoCos -- 3.1 New Issuances -- 3.2 CoCo Index Comparison -- 3.3 Model-Based Performance -- 4 Impact After Issue Date -- 5 Conclusion -- References -- The Impact of Cointegration on Commodity Spread Options. , 1 Introduction.

Additional Edition: Print version: Glau, Kathrin Innovations in Derivatives Markets Cham : Springer International Publishing AG,c2016 ISBN 9783319334455

Language: English

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Format: 272 S. , zahlr. Ill. , 21 cm

ISBN: 9783831905638

Note: Betrifft auch Sachsen , Literaturangaben

Language: German

Keywords: Luther, Martin 1483-1546 ; Wirkungsstätte ; Luther, Martin 1483-1546 ; Biografie ; Führer ; Führer ; Führer

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Author information: Gretzschel, Matthias 1957-

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Format: 1 online resource (400 p.) ; , cm.

ISBN: 9781786431868 (e-book)

Content: This groundbreaking book offers a critical and wide-ranging assessment of the global air transport liberalization process over the past 40 years. This compilation of world experts on air transport economics, policy, and regulation is timely and significant, considering that air transport is currently facing a series of new challenges due to technological changes, the emergence of new markets, and increased security concerns. The book initially explores liberalization within various geographical markets such as the United States, Australia, Ireland, the European Union, China, India, Latin America, and Africa. It expands upon this by addressing the main concerns that were initially leveled against air transport liberalization, including those involving safety, social services, market concentration, and the domination of hub airports as well as market instability. This analysis of air transport and its regulation will be of interest to aviation professionals, regulators, researchers, and students who are taking courses in air transport, economic regulation, and contemporary transport history.

Note: Includes index. , Contents: Introduction / Matthias Finger and Kenneth Button -- Part I: Country and regional reports -- 2. Airline liberalization in the US / James Peoples -- 3. Airline deregulation in Canada and the sustainability of competition / David Gillen and William G. Morrison -- 4. Australia - a reluctant liberalizer / Peter Forsyth -- 5. Air transport liberalization: the case of Ireland / Sean Barrett -- 6. The evolution of Indian civil aviation / Haritha Saranga and Rajiv Nagpal -- 7. Air transport development: a comparative analysis of China and India / Anming Zhang and Yahua Zhang -- 8. European market - present and future / Volodymyr Bilotkach -- 9. Latin America and the Caribbean, thirty-plus years of lukewarm liberalization of air transportation markets / Henry L. Vega -- 10. Air transport in Africa / Gianmaria Martini and Davide Scotti -- Part II: Topical issues -- 11. Aviation safety in the age of liberalization / Clint V. Oster Jr., John S. Strong and C. Kurt Zorn -- 12. Small community impacts of liberalization and the provision of social air services / Aisling Reynolds-Feighan -- 13. Oligopolization of markets / Sveinn V. Gudmundsson -- 14. Domination of hub-and-spoke systems / Marc C. Gelhausen and Peter Berster -- 15. Market instability / Kenneth Button -- Part III: Future challenges -- 16. Economic perspectives on aviation security / William Morrison and David Gillen -- 17. The need to evolve air traffic management: Europe as a laboratory / Matthias Finger, Marc Baumgartner and Engin Zeki -- 18. Canada and USA: a tale of two ANSPs / Rui Neiva -- Index.

Additional Edition: ISBN 9781786431851 (hardback)

Language: English

Keywords: Electronic books. ; Electronic books.

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Format: 331 S. : , graph. Darst.+1 CD-ROM

ISBN: 3-8017-1748-8

Content: Kauf aus Projektmitteln der Abt. IV/Dr.Mehner

Keywords: Lehrbuch

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Format: 160 Seiten , zahlr. Ill. , 25 cm

ISBN: 3517063657

Content: Ratgeber für Kinder, die Natur pur erleben wollen; mit Tipps für die Ausrüstung für Entdeckungsreisen auf unbekanntem Gelände, Hinweise zum Spurenlesen, dem Bau eines Floßes, Nahrungsbeschaffung etc.

Language: German

Keywords: Überlebenstraining ; Ratgeber ; Jugendsachbuch ; Pfadfinder ; Ratgeber ; Jugendsachbuch ; Jugendsachbuch ; Ratgeber

Author information: Müller-Michaelis, Matthias

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Format: 1 online resource (352 pages) : , illustrations (some color), tables, graphs.

ISBN: 9789027265180 (e-book)

Series Statement: Iconicity in Language and Literature, Volume 15

Additional Edition: Print version: Dimensions of iconicity. Amsterdam, [Netherlands] ; Philadelphia, [Pennsylvania] : John Benjamins Publishing Company, c2017 ISBN 9789027243515

Language: English

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Format: 122 S. , 19 cm

ISBN: 3505094773

Series Statement: Pizza-Bande Bd. 13

Language: German

Keywords: Jugendbuch

URL: Inhaltsverzeichnis

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Format: 176 Seiten

ISBN: 9783906501246

Language: German

Author information: Brandenburg, Stephan

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Format: 399 Seiten

ISBN: 9783945852262

Note: Literaturverzeichnis: Seite 392-395 , "This book is published on the occasion of 'Victor Papanek: The Politics of Design', an exhibition by the Vitra Design Museum and the Barcelona Design Museum, in collaboration with the Victor J. Papanek Foundation, University of Applied Arts Vienna. Vitra Design Museum, Weil am Rhein, 29 September 2018-10 March 2019, Barcelona Design Museum, 30 October 2019-2 February 2020" - Colophon

Additional Edition: Parallele Sprachausgabe Papanek, Victor, 1926 - 1998 Victor Papanek - the politics of design

Additional Edition: ISBN 9783945852255

Language: English

Keywords: Design ; Ausstellungskatalog ; Ausstellungskatalog ; Bildband ; Case studies ; Exhibition catalogues

URL: Inhaltsverzeichnis

URL: http://shop.design-museum.de/Publikationen/Victor-Papanek-The-Politics-of-Design.html

Author information: Papanek, Victor 1926-1998

Author information: Clarke, Alison J.

Author information: Kries, Mateo 1974-

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Format: 123 Seiten , Illustrationen , 19 cm

ISBN: 3505089303

Series Statement: Die Pizza-Bande Bd. 3

Language: German

Keywords: Kindergruppe ; Detektiv ; Spuk ; Kinderbuch

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Author information: Martin, Matthias 1934-