Counterparty credit risk, collateral and funding : with pricing cases for all asset classes /

• Main Author: Brigo, Damiano, 1966-
• Other Authors: Morini, Massimo, Pallavicini, Andrea
• Format: eBook
• Language: English
• Published: Chichester, West Sussex : John Wiley & Sons Inc., 2013.
• Series: Wiley finance series.
• Subjects: Finance > Mathematical models.; Credit > Mathematical models.; Credit derivatives > Mathematical models.; Financial risk > Mathematical models.; BUSINESS & ECONOMICS > Finance.; Electronic books.

The book's content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counte...