This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both...

This Palgrave Pivot assesses the impact of the regulatory framework for derivatives built post-crisis and examines its ambition to centralize and minimize credit risk, enhance transparency, and regain control. Zelenko delves into the powerful destabilizing forces exerted by derivatives markets...

The Brazilian financial markets operate in a very different way to their G7 counterparts. Key differences include onshore and offshore markets, exponential rates, business days day-counts and price formation from the futures markets (instead of the cash markets). Quants, traders, structurers and...

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at...

This book provides a comprehensive introduction to modern financial modeling using Excel, VBA, standards of financial modeling and model review. It offers guidance on essential modeling concepts around the four core financial activities in the modern financial industry today: financial...

This book examines the role of financial institutions in the financial markets during normal times, as well as during the global financial crisis. Chapter 1 offers a brief introduction to the research topics in the book, while Chapter 2 discusses the impact of financial derivatives on risk...

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...

Die sachgerechte Bilanzierung und Bewertung von Finanzinstrumenten ist insbesondere für kapitalmarktorientierte Unternehmen ein Muss. Der Inhalt: - Maßgebliche Standards: IAS 32, IAS 39 und IFRS 7 sowie IFRS 9(Financial Instruments: Recognition and Measurement und aktuelle Exposure Drafts...

The weather derivatives market -- Introduction to Stochastic Calculus -- Handling the data -- Pricing approaches of temperature -- Modeling the daily average temperature -- Pricing temperature derivatives -- The use of meteorological forecasts -- The effects of the geographical and basis risk --...