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

Yi Tang and Bin Li
Additional contact information
Yi Tang: Morgan Stanley & Co. Inc., USA
Bin Li: Ping Capital Management, Ltd., USA

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: CVA; Credit Valuation Adjustment; Counterparty Credit; BGM Model; HJM Model; RS Model; Martingale; Derivatives Modeling; Martingale Resampling; Orthogonal Exponential Spline; Stat Arb; Nonexploding Bushy Tree; NBT; PRDC; TARN; Snowball; Snowbear; CCDS; Credit Extinguisher (search for similar items in EconPapers)
Date: 2007
ISBN: 9789810240790
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Citations: View citations in EconPapers (5)

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https://www.worldscientific.com/worldscibooks/10.1142/4228 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 Introduction to Counterparty Credit Risk , pp 3-36

Yi Tang and Bin Li

Ch 2 Martingale Arbitrage Pricing in Real Market , pp 37-122

Yi Tang and Bin Li

Ch 3 The Black-Scholes Framework and Extensions , pp 123-152

Yi Tang and Bin Li

Ch 4 Martingale Resampling and Interpolation , pp 153-211

Yi Tang and Bin Li

Ch 5 Introduction to Interest Rate Term Structure Modeling , pp 212-217

Yi Tang and Bin Li

Ch 6 The Heath-Jarrow-Morton Framework , pp 218-248

Yi Tang and Bin Li

Ch 7 The Interest Rate Market Model , pp 249-326

Yi Tang and Bin Li

Ch 8 Credit Risk Modeling and Pricing , pp 327-385

Yi Tang and Bin Li

Ch 9 Simple Interest Rate Products , pp 389-396

Yi Tang and Bin Li

Ch 10 Yield Curve Modeling , pp 397-410

Yi Tang and Bin Li

Ch 11 Two-Factor Risk Model , pp 411-433

Yi Tang and Bin Li

Ch 12 The Holy Grail — Two-Factor Interest Rate Arbitrage , pp 434-439

Yi Tang and Bin Li

Ch 13 Yield Decomposition Model , pp 440-449

Yi Tang and Bin Li

Ch 14 Inflation Linked Instruments Modeling , pp 450-460

Yi Tang and Bin Li

Ch 15 Interest Rate Proprietary Trading Strategies , pp 461-478

Yi Tang and Bin Li

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