Rethinking valuation and pricing models : lessons learned from the crisis and future challenges / edited by Carsten S. Wehn, Christian Hoppe, Greg N. Gregoriou.

Format:

Book

Contributor:

Wehn, Carsten S.

Hoppe, Christian.

Gregoriou, Greg N., 1956-

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Physical Description:

1 online resource (657 p.)

Edition:

1st edition

Place of Publication:

Amsterdam : Elsevier, 2013.

Language Note:

English

System Details:

text file

Summary:

It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional approaches, real examples, and case studies, contributors consider portfolio theory; methods for valuing equities and equity derivatives, interest rate derivatives, and hybrid products; and techniques for calculating risks and implementing investment strategies. Describing new appr

Contents:

Front Cover; Editor's Disclaimers; Rethinking Valuation and Pricing Models: Lessons Learned from theCrisis and Future Challenges; Copyright; Contents; Foreword; Editors; Contributors; CHAPTER 1 - THE EFFECTIVENESS OF OPTION PRICING MODELS DURING FINANCIAL CRISES; 1.1 Introduction; 1.2 Methodology; 1.3 Data; 1.4 Results; 1.5 Concluding Remarks; References; CHAPTER 2 - TAKING COLLATERAL INTO ACCOUNT; 2.1 Introduction; 2.2 Notations and Problem; 2.3 Black-Scholes Partial Differential Equation in the Presence of Collateral; 2.4 Collateral Discount Curve Bootstrapping

2.5 Pricing and Bootstrapping of the IR Vanilla Swap Term Structure2.6 European Swaption Pricing Framework; 2.7 Collateral Effect and Term-Structure Models; 2.8 Conclusion; References; CHAPTER 3 - SCENARIO ANALYSIS IN CHARGE OF MODEL SELECTION; 3.1 Introduction to Model Risk; 3.2 Classical Calibration Procedure; 3.3 Processes, Dynamics and Model Definition; 3.4 Importance of Risk Premia; 3.5 Equity Volatility Modeling; 3.6 Foreign Exchange Volatility Modeling; 3.7 Conclusions; Note; References; CHAPTER 4 - AN ""ECONOMICAL"" PRICING MODEL FOR HYBRID PRODUCTS; 4.1 Introduction

4.2 Pricing Convertible Bonds4.3 Two-Factor Numerical Procedure; 4.4 Default Risk; 4.5 Pricing Convertible Bonds Subject to Interest Rate Risk and Default Risk; 4.6 Conclusion; Note; References; CHAPTER 5 - CREDIT VALUATION ADJUSTMENTS MATHEMATICAL FOUNDATIONS, PRACTICAL IMPLEMENTATION AND WRONG WAY RISKS; 5.1 Introduction; 5.2 Mathematical Foundations of CVA; 5.3 Practical Implementation: Issues and (Wrong Way) Risks; 5.4 Model Risks in CVA Calculation; 5.5 Summary and Prospects; Notes; References

CHAPTER 6 - COUNTERPARTY CREDIT RISK AND CREDIT VALUATION ADJUSTMENTS (CVAS) FOR INTEREST RATE DERIVATIVES- CURRENT CHALLENGES FOR CVA DESKS6.1 Introduction; 6.2 Traditional Counterparty Risk Management Approaches; 6.3 Modeling Credit Exposure and Pricing CCR; 6.4 New Challenges and Reactions; 6.5 Practical Problems; 6.6 Conclusions and Lessons Learned; References; CHAPTER 7 - DESIGNING A COUNTERPARTY RISK MANAGEMENT INFRASTRUCTURE FOR DERIVATIVES; 7.1 Need for an Integrated Counterparty Risk Management; 7.2 Building Blocks for an Adequate Infrastructure; 7.3 General Computing Approach

7.4 Trade AssessmentNotes; References; CHAPTER 8 - A JUMP- DIFFUSION NOMINAL SHORT RATE MODEL; 8.1 Introduction; 8.2 The Economy; 8.3 Equilibrium Interest Rates and Monetary Policy; 8.4 A Nominal Interest Rate Model; 8.5 Conclusion; Appendix: Proof of Proposition 2; Acknowledgments; References; CHAPTER 9 - THE WIDENING OF THE BASIS: NEW MARKET FORMULAS FOR SWAPS, CAPS AND SWAPTIONS; 9.1 Introduction; 9.2 Assumptions on the Discount Curve; 9.3 Fra Rates: Definition and Pricing; 9.4 IRS Valuation; 9.5 Pricing of Caplets and Swaptions; 9.6 Conclusions; References

CHAPTER 10 - THE FINANCIAL CRISIS AND THE CREDIT DERIVATIVES PRICING MODELS

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9781283704830

1283704838

9780124158887

0124158889

OCLC:

818866959