Innovations in Derivatives Markets

Part I. Valuation Adjustments

1. Nonlinearity Valuation Adjustment
Damiano Brigo, Qing D. Liu, Andrea Pallavicini, David Sloth

2. Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
Damiano Brigo, Marco Francischello, Andrea Pallavicini

3. Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives
Stéphane Crépey, Tuyet Mai Nguyen

4. Tight Semi-model-free Bounds on (Bilateral) CVA
Jördis Helmers, Jan-J. Rückmann, Ralf Werner

5. CVA with Wrong-Way Risk in the Presence of Early Exercise
Roberto Baviera, Gaetano La Bua, Paolo Pellicioli

6. Simultaneous Hedging of Regulatory and Accounting CVA
Christoph Berns

7. Capital Optimization Through an Innovative CVA Hedge
Michael Hünseler, Dirk Schubert

8. FVA and Electricity Bill Valuation Adjustment—Much of a Difference?
Damiano Brigo, Christian P. Fries, John Hull, Matthias Scherer, Daniel Sommer, Ralf Werner

Part II. Fixed Income Modeling

9. Multi-curve Modelling Using Trees
John Hull, Alan White

10. Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model
Zorana Grbac, Laura Meneghello, Wolfgang J. Runggaldier

11. Multi-curve Construction
Christian P. Fries

12. Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
Giacomo Bormetti, Damiano Brigo, Marco Francischello, Andrea Pallavicini

13. A Generalized Intensity-Based Framework for Single-Name Credit Risk
Frank Gehmlich, Thorsten Schmidt

14. Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
Ernst Eberlein, M’hamed Eddahbi, Sidi Mohamed Lalaoui Ben Cherif

15. Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis
Vilimir Yordanov

Part III. Financial Engineering

16. Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
Daniël Linders, Wim Schoutens

17. Pricing Shared-Loss Hedge Fund Fee Structures
Ben Djerroud, David Saunders, Luis Seco, Mohammad Shakourifar

18. Negative Basis Measurement: Finding the Holy Scale
German Bernhart, Jan-Frederik Mai

19. The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos
Jan Spiegeleer, Stephan Höcht, Ine Marquet, Wim Schoutens

20. The Impact of Cointegration on Commodity Spread Options
Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula

21. The Dynamic Correlation Model and Its Application to the Heston Model
L. Teng, M. Ehrhardt, M. Günther

Keywords: Mathematics, Quantitative Finance, Banking, Statistics for Business/Economics/Mathematical Finance/Insurance, Mathematical Modeling and Industrial Mathematics, Probability Theory and Stochastic Processes, Financial Engineering