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Innovations in Derivatives Markets
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  • Title: Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
  • Author(s) Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
  • Publisher: Springer (April 28, 2018); eBook (Creative Commons Licensed)
  • License(s): Creative Commons License (CC)
  • Paperback: 459 pages
  • eBook: PDF and ePub
  • Language: English
  • ASIN/ISBN-10: 3319815148
  • ISBN-13: 978-3319815145
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Book Description

Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations.

About the Authors
  • Kathrin Glau is a Junior Professor of Mathematical Finance at the Technical University of Munich.
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