Modelling, Pricing and Hedging Counterparty Credit Exposure

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1、SpringerFinanceEditorialBoardM.AvellanedaG.Barone-AdesiM.BroadieM.H.A.DavisE.DermanC.KlüppelbergW.SchachermayerSpringerFinanceSpringerFinanceisaprogrammeofbooksaddressingstudents,academicsandpractitionersworkingonincreasinglytechnicalapproachestotheanalysisoffinancialmarkets.Itaimstocoverav

2、arietyoftopics,notonlymathematicalfinancebutforeignexchanges,termstructure,riskmanagement,portfoliotheory,equityderivatives,andfinancialeconomics.AmmannM.,CreditRiskValuation:Methods,Models,andApplication(2001)BackK.,ACourseinDerivativeSecurities:IntroductiontoTheoryandComputation(2005)Baruc

3、ciE.,FinancialMarketsTheory.Equilibrium,EfficiencyandInformation(2003)BieleckiT.R.andRutkowskiM.,CreditRisk:Modeling,ValuationandHedging(2002)BinghamN.H.andKieselR.,Risk-NeutralValuation:PricingandHedgingofFinancialDerivatives(1998,2nded.2004)BrigoD.andMercurioF.,InterestRateModels:Theoryan

4、dPractice(2001,2nded.2006)BuffR.,UncertainVolatilityModels–TheoryandApplication(2002)CarmonaR.A.andTehranchiM.R.,InterestRateModels:AnInfiniteDimensionalStochasticAnalysisPerspective(2006)DanaR.-A.andJeanblancM.,FinancialMarketsinContinuousTime(2003)DeboeckG.andKohonenT.(Editors),VisualExpl

5、orationsinFinancewithSelf-OrganizingMaps(1998)DelbaenF.andSchachermayerW.,TheMathematicsofArbitrage(2005)ElliottR.J.andKoppP.E.,MathematicsofFinancialMarkets(1999,2nded.2005)FenglerM.R.,SemiparametricModelingofImpliedVolatility(2005)Filipovi´cD.,Term-StructureModels(2009)FusaiG.andRoncoron

6、iA.,ImplementingModelsinQuantitativeFinance(2008)GemanH.,MadanD.,PliskaS.R.andVorstT.(Editors),MathematicalFinance–BachelierCongress2000(2001)GundlachM.andLehrbassF.(Editors),CreditRisk+intheBankingIndustry(2004)JeanblancM.,YorM.,ChesneyM.,MathematicalMethodsforFinancialMarkets(2009)Jondea

7、uE.,FinancialModelingUnderNon-GaussianDistributions(2007)KabanovY.A.andSafarianM.,MarketswithTransactionCosts(2009)KellerhalsB.P.,AssetPricing(2004)KülpmannM.,IrrationalExuberanceReconsidered(2004)KwokY.-K.,MathematicalModelsofFinancialDerivatives(1998,2nded.2