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

Author

Listed:
  • Yi Tang

    (Morgan Stanley & Co. Inc., USA)

  • Bin Li

    (Ping Capital Management, Ltd., USA)

Abstract

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.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Yi Tang & Bin Li, 2007. "Quantitative Analysis, Derivatives Modeling, and Trading Strategies:In the Presence of Counterparty Credit Risk for the Fixed-Income Market," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4228, August.
    • Handle: RePEc:wsi:wsbook:4228
    as

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    Citations

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    Cited by:

    1. Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
    2. Wujiang Lou, 2015. "Coherent CVA and FVA with Liability Side Pricing of Derivatives," Papers 1510.07199, arXiv.org.
    3. Siu, Tak Kuen, 2023. "European option pricing with market frictions, regime switches and model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 233-250.
    4. Lixin Wu, 2015. "Cva And Fva To Derivatives Trades Collateralized By Cash," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-22.
    5. Martin ZIEGELBAECK & Guenther BREUER, 2014. "The role of market makers in the Euronext milling wheat contract," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 60(4), pages 183-187.

    Book Chapters

    The following chapters of this book are listed in IDEAS

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