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题名/责任者:

Valuation in a world of CVA, DVA, and FVA : a tutorial on debt securities and interest rate derivatives / Donald J Smith Questrom School of Business, Boston University, USA.

出版发行项:

New Jersey : World Scientific, c2018

ISBN:

9789813222748 :

ISBN:

9789813224162

载体形态项:

xviii, 207 pages ; 24 cm

个人责任者:

Smith, Donald J., 1947- author.

论题主题:

Bonds-Valuation.

论题主题:

Derivative securities-Valuation.

中图法分类号:

F810.5

书目附注:

Includes bibliographical references.

内容附注:

Introduction -- An introduction to the XVA and bond valuation using a binomial tree -- Valuing traditional fixed-rate corporate bonds -- Valuing floating-rate notes and interest rate caps and floors -- Valuing fixed-income bonds having embedded call and put options -- Valuing interest rate swaps with CVA and DVA -- Valuing an interest rate swap portfolio with CVA, DVA, and FVA -- Structured notes -- Summary -- Appendix: The forward rate binomial tree model -- References.

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