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Innovations in Derivatives Markets

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Cover of 'Innovations in Derivatives Markets'

Table of Contents

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    Book Overview
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    Chapter 1 Nonlinearity Valuation Adjustment
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    Chapter 2 Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
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    Chapter 3 Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives
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    Chapter 4 Tight Semi-model-free Bounds on (Bilateral) CVA
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    Chapter 5 CVA with Wrong-Way Risk in the Presence of Early Exercise
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    Chapter 6 Simultaneous Hedging of Regulatory and Accounting CVA
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    Chapter 7 Capital Optimization Through an Innovative CVA Hedge
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    Chapter 8 FVA and Electricity Bill Valuation Adjustment—Much of a Difference?
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    Chapter 9 Multi-curve Modelling Using Trees
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    Chapter 10 Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model
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    Chapter 11 Multi-curve Construction
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    Chapter 12 Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
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    Chapter 13 A Generalized Intensity-Based Framework for Single-Name Credit Risk
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    Chapter 14 Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
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    Chapter 15 Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis
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    Chapter 16 Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
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    Chapter 17 Pricing Shared-Loss Hedge Fund Fee Structures
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    Chapter 18 Negative Basis Measurement: Finding the Holy Scale
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    Chapter 19 The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos
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    Chapter 20 The Impact of Cointegration on Commodity Spread Options
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    Chapter 21 The Dynamic Correlation Model and Its Application to the Heston Model
Attention for Chapter 12: Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
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Chapter title
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
Chapter number 12
Book title
Innovations in Derivatives Markets
Published by
Springer, Cham, December 2016
DOI 10.1007/978-3-319-33446-2_12
Book ISBNs
978-3-31-933445-5, 978-3-31-933446-2
Authors

Giacomo Bormetti, Damiano Brigo, Marco Francischello, Andrea Pallavicini

Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 2 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 2 100%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 2 100%
Readers by discipline Count As %
Mathematics 1 50%
Economics, Econometrics and Finance 1 50%