Valuation in a world of CVA, DVA, and FVA a tutorial on debt securities and interest rate derivatives
Material type: TextPublication details: London World Scientific 2018Description: xviii, 207p. 24 cmISBN:- 9789813224162
- 332.6323 23 SM-V
- HG4651 .S573 2018
Item type | Home library | Collection | Call number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|
OPJGU Sonepat- Campus Main Library | General Books | 332.6323 SM-V (Browse shelf(Opens below)) | Available | 140777 |
Includes bibliographical references.
Introduction -- An introduction to the XVA and bond valuation using a binomial tree -- Valuing traditional fixed-rate corporate bonds -- Valuing floating-rate notes and interest rate caps and floors -- Valuing fixed-income bonds having embedded call and put options -- Valuing interest rate swaps with CVA and DVA -- Valuing an interest rate swap portfolio with CVA, DVA, and FVA -- Structured notes -- Summary -- Appendix: The forward rate binomial tree model -- References.
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