Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market - Hardcover

Yi Tang; Bin Li

Hardcover

ISBN 10: 9810240791 ISBN 13: 9789810240790

Publisher: World Scientific Publishing, 2007

Synopsis

This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors' own research and practice. It is written from the viewpoint of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader to develop intuitions.Among the modeling and the numerical techniques presented are the practical applications of the martingale theories, such as martingale model factory and martingale resampling and interpolation. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies from the perspective of a front office functionality and a revenue center (rather than merely a risk management functionality), which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, and credit extinguishers.While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, foreign exchange, and commodity markets.

About this title

Review

This state of the art text emphasizes various contemporary topics in fixed income derivatives from a practitioner's perspective. The combination of martingale technology with the author's expert practical knowledge contributes hugely to the book's success. For those who desire timely reporting straight from the trenches, this book is a must.

Review

"This book has innovative ideas, state of the art applications, and contains a wealth of valuable information ..."

Edition details

• Publisher: World Scientific Publishing
• Publication date: 2007
• ISBN 10: 9810240791
• ISBN 13: 9789810240790
• Binding: Hardcover
• Language: English
• Number of pages: 520