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Format: 1 Online-Ressource (X, 449 Seiten, 68 illus., 43 illus. in color)

ISBN: 9783319334462 , 9783319334455

Series Statement: Springer proceedings in mathematics & statistics volume 165

Language: English

Keywords: Finanzinnovation ; Zinsänderungsrisiko ; Finanzmathematik ; Konferenzschrift ; Konferenzschrift

DOI: 10.1007/978-3-319-33446-2

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Author information: Scherer, Matthias

Author information: Zagst, Rudi 1961-

Author information: Glau, Kathrin

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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: X, 449 p. 68 illus., 43 illus. in color. , online resource.

ISBN: 9783319334462

Series Statement: Springer Proceedings in Mathematics & Statistics, 165

Content: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. .

Note: Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. .

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Additional Edition: Printed edition: ISBN 9783319334455

Language: English

Keywords: Electronic books. ; Electronic books.

DOI: 10.1007/978-3-319-33446-2

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Format: 1 online resource (X, 449 p. 68 illus., 43 illus. in color.)

Edition: 1st ed. 2016.

ISBN: 3-319-33446-8

Series Statement: Springer Proceedings in Mathematics & Statistics, 165

Content: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. .

Note: Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. .

Additional Edition: ISBN 3-319-33445-X

Language: English

DOI: 10.1007/978-3-319-33446-2

UID:

Format: 1 online resource (X, 449 p. 68 illus., 43 illus. in color.)

Edition: 1st ed. 2016.

ISBN: 3-319-33446-8

Series Statement: Springer Proceedings in Mathematics & Statistics, 165

Content: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. .

Note: Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. .

Additional Edition: ISBN 3-319-33445-X

Language: English

DOI: 10.1007/978-3-319-33446-2

UID:

Format: 1 online resource (X, 449 p. 68 illus., 43 illus. in color.)

Edition: 1st ed. 2016.

ISBN: 3-319-33446-8

Series Statement: Springer Proceedings in Mathematics & Statistics, 165

Content: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate. .

Note: Foreword -- Preface -- Part I: Valuation Adjustments -- Part II: Fixed Income Modeling -- Part III: Financial Engineering. .

Additional Edition: ISBN 3-319-33445-X

Language: English

DOI: 10.1007/978-3-319-33446-2