Kenyon, Chris
Discounting, LIBOR, CVA and Funding
Table of contents
1. Back to the Basics
Chris Kenyon, Roland Stamm
2. Bootstrapping of Zero Curves
Chris Kenyon, Roland Stamm
3. A Plethora of Credit Spreads
Chris Kenyon, Roland Stamm
4. Introduction to Basis Spreads
Chris Kenyon, Roland Stamm
5. Local Discount Curves
Chris Kenyon, Roland Stamm
6. Global Discount Curve
Chris Kenyon, Roland Stamm
7. Non-Linear Products
Chris Kenyon, Roland Stamm
8. CVA: Instrument Level
Chris Kenyon, Roland Stamm
9. CVA: Firm Level
Chris Kenyon, Roland Stamm
10. Basel III
Chris Kenyon, Roland Stamm
11. Backtesting
Chris Kenyon, Roland Stamm
Keywords: Business and Management, Business Finance, Operation Research/Decision Theory, Accounting/Auditing, Finance, general, Business Mathematics, Financial Engineering
- Author(s)
- Kenyon, Chris
- Stamm, Roland
- Publisher
- Springer
- Publication year
- 2012
- Language
- en
- Edition
- 1
- Series
- Applied Quantitative Finance
- Page amount
- 251 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9781137268525
- Printed ISBN
- 978-1-349-44347-5
