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Book Cover
E-book
Author Turfus, Colin, author.

Title Perturbation methods in credit derivatives : strategies for efficient risk management / Colin Turfus
Published Chichester, West Sussex, United Kingdom : John Wiley & Sons, Ltd., 2021
©2021

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Description 1 online resource (xvi, 233 pages) : illustrations
Series Wiley finance series
Wiley finance series.
Summary "Perturbation methods are currently seeing a surge of popularity, with Pat Hagan and collaborators generalising and extending their SABR approach to European option pricing (See for example Wilmott magazine, Managing Vol Surfaces, P. Hagan et al, 23 January 2018) and their methods being extended by various groups worldwide to cover more exotic options. The power of Green's function approaches is also being rediscovered. At the same time the increasing regulatory burden of ever more stress testing of models and of hedging strategies for market risk and counterparty risk puts computational efficiency at a premium. Financial institutions' default strategy of throwing everything into a big Monte Carlo simulation is reaching its limits with a premium on intelligent strategies allowing a trade-off, with the cost of introducing bespoke algorithms or approximations into risk calculations being compensated by a reduced computational burden. Perturbation methods provide a simple but widely applicable methodology for obtaining tractable but accurate analytic approximations useful for pricing of credit-contingent financial products and for risk management purposes such as XVA and exposure calculations"-- Provided by publisher
Bibliography Includes bibliographical references and index
Notes Description based on online resource; title from digital title page (viewed on January 14, 2021)
Subject Credit derivatives.
Financial risk management.
Credit derivatives
Financial risk management
Form Electronic book
LC no. 2020029879
ISBN 9781119610168
1119610168
9781119609599
1119609593
1119609623
9781119609629