Rethinking valuation and pricing models lessons learned from the crisis and future challenges
It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including review...
| Otros Autores: | , , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Amsterdam :
Elsevier
2013.
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| Edición: | 1st edition |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628855106719 |
Tabla de Contenidos:
- Front Cover; Editor's Disclaimers; Rethinking Valuation and Pricing Models: Lessons Learned from theCrisis and Future Challenges; Copyright; Contents; Foreword; Editors; Contributors; CHAPTER 1 - THE EFFECTIVENESS OF OPTION PRICING MODELS DURING FINANCIAL CRISES; 1.1 Introduction; 1.2 Methodology; 1.3 Data; 1.4 Results; 1.5 Concluding Remarks; References; CHAPTER 2 - TAKING COLLATERAL INTO ACCOUNT; 2.1 Introduction; 2.2 Notations and Problem; 2.3 Black-Scholes Partial Differential Equation in the Presence of Collateral; 2.4 Collateral Discount Curve Bootstrapping
- 2.5 Pricing and Bootstrapping of the IR Vanilla Swap Term Structure2.6 European Swaption Pricing Framework; 2.7 Collateral Effect and Term-Structure Models; 2.8 Conclusion; References; CHAPTER 3 - SCENARIO ANALYSIS IN CHARGE OF MODEL SELECTION; 3.1 Introduction to Model Risk; 3.2 Classical Calibration Procedure; 3.3 Processes, Dynamics and Model Definition; 3.4 Importance of Risk Premia; 3.5 Equity Volatility Modeling; 3.6 Foreign Exchange Volatility Modeling; 3.7 Conclusions; Note; References; CHAPTER 4 - AN ""ECONOMICAL"" PRICING MODEL FOR HYBRID PRODUCTS; 4.1 Introduction
- 4.2 Pricing Convertible Bonds4.3 Two-Factor Numerical Procedure; 4.4 Default Risk; 4.5 Pricing Convertible Bonds Subject to Interest Rate Risk and Default Risk; 4.6 Conclusion; Note; References; CHAPTER 5 - CREDIT VALUATION ADJUSTMENTS MATHEMATICAL FOUNDATIONS, PRACTICAL IMPLEMENTATION AND WRONG WAY RISKS; 5.1 Introduction; 5.2 Mathematical Foundations of CVA; 5.3 Practical Implementation: Issues and (Wrong Way) Risks; 5.4 Model Risks in CVA Calculation; 5.5 Summary and Prospects; Notes; References
- CHAPTER 6 - COUNTERPARTY CREDIT RISK AND CREDIT VALUATION ADJUSTMENTS (CVAS) FOR INTEREST RATE DERIVATIVES- CURRENT CHALLENGES FOR CVA DESKS6.1 Introduction; 6.2 Traditional Counterparty Risk Management Approaches; 6.3 Modeling Credit Exposure and Pricing CCR; 6.4 New Challenges and Reactions; 6.5 Practical Problems; 6.6 Conclusions and Lessons Learned; References; CHAPTER 7 - DESIGNING A COUNTERPARTY RISK MANAGEMENT INFRASTRUCTURE FOR DERIVATIVES; 7.1 Need for an Integrated Counterparty Risk Management; 7.2 Building Blocks for an Adequate Infrastructure; 7.3 General Computing Approach
- 7.4 Trade AssessmentNotes; References; CHAPTER 8 - A JUMP- DIFFUSION NOMINAL SHORT RATE MODEL; 8.1 Introduction; 8.2 The Economy; 8.3 Equilibrium Interest Rates and Monetary Policy; 8.4 A Nominal Interest Rate Model; 8.5 Conclusion; Appendix: Proof of Proposition 2; Acknowledgments; References; CHAPTER 9 - THE WIDENING OF THE BASIS: NEW MARKET FORMULAS FOR SWAPS, CAPS AND SWAPTIONS; 9.1 Introduction; 9.2 Assumptions on the Discount Curve; 9.3 Fra Rates: Definition and Pricing; 9.4 IRS Valuation; 9.5 Pricing of Caplets and Swaptions; 9.6 Conclusions; References
- CHAPTER 10 - THE FINANCIAL CRISIS AND THE CREDIT DERIVATIVES PRICING MODELS
