Capital Optimization Through an Innovative CVA Hedge (English)
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- New search for: Hünseler, Michael
- New search for: Schubert, Dirk
- New search for: Hünseler, Michael
- New search for: Schubert, Dirk
In:
Innovations in Derivatives Markets
1
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133-146
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2016
- Article/Chapter (Book) / Electronic Resource
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Title:Capital Optimization Through an Innovative CVA Hedge
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Contributors:Hünseler, Michael ( author ) / Schubert, Dirk ( author )
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Published in:Innovations in Derivatives Markets , 1 ; 133-146Springer Proceedings in Mathematics & Statistics ; 165, 1 ; 133-146
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Publisher:
- New search for: Springer International Publishing
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Place of publication:Cham
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Publication date:2016-01-01
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Size:14 pages
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ISBN:
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ISSN:
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DOI:
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Type of media:Article/Chapter (Book)
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Type of material:Electronic Resource
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Language:English
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Keywords:
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Source:
Table of contents eBook
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 3
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Nonlinearity Valuation AdjustmentBrigo, Damiano / Liu, Qing D. / Pallavicini, Andrea / Sloth, David et al. | 2016
- 37
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Analysis of Nonlinear Valuation Equations Under Credit and Funding EffectsBrigo, Damiano / Francischello, Marco / Pallavicini, Andrea et al. | 2016
- 53
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Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit DerivativesCrépey, Stéphane / Nguyen, Tuyet Mai et al. | 2016
- 83
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Tight Semi-model-free Bounds on (Bilateral) CVAHelmers, Jördis / Rückmann, Jan-J. / Werner, Ralf et al. | 2016
- 103
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CVA with Wrong-Way Risk in the Presence of Early ExerciseBaviera, Roberto / La Bua, Gaetano / Pellicioli, Paolo et al. | 2016
- 117
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Simultaneous Hedging of Regulatory and Accounting CVABerns, Christoph et al. | 2016
- 133
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Capital Optimization Through an Innovative CVA HedgeHünseler, Michael / Schubert, Dirk et al. | 2016
- 147
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FVA and Electricity Bill Valuation Adjustment—Much of a Difference?Brigo, Damiano / Fries, Christian P. / Hull, John / Scherer, Matthias / Sommer, Daniel / Werner, Ralf et al. | 2016
- 171
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Multi-curve Modelling Using TreesHull, John / White, Alan et al. | 2016
- 191
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Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate ModelGrbac, Zorana / Meneghello, Laura / Runggaldier, Wolfgang J. et al. | 2016
- 227
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Multi-curve ConstructionFries, Christian P. et al. | 2016
- 251
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Impact of Multiple-Curve Dynamics in Credit Valuation AdjustmentsBormetti, Giacomo / Brigo, Damiano / Francischello, Marco / Pallavicini, Andrea et al. | 2016
- 267
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A Generalized Intensity-Based Framework for Single-Name Credit RiskGehmlich, Frank / Schmidt, Thorsten et al. | 2016
- 285
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Option Pricing and Sensitivity Analysis in the Lévy Forward Process ModelEberlein, Ernst / Eddahbi, M’hamed / Lalaoui Ben Cherif, Sidi Mohamed et al. | 2016
- 315
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Inside the EMs Risky Spreads and CDS-Sovereign Bonds BasisYordanov, Vilimir et al. | 2016
- 335
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Basket Option Pricing and Implied Correlation in a One-Factor Lévy ModelLinders, Daniël / Schoutens, Wim et al. | 2016
- 369
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Pricing Shared-Loss Hedge Fund Fee StructuresDjerroud, Ben / Saunders, David / Seco, Luis / Shakourifar, Mohammad et al. | 2016
- 385
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Negative Basis Measurement: Finding the Holy ScaleBernhart, German / Mai, Jan-Frederik et al. | 2016
- 405
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The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCosSpiegeleer, Jan / Höcht, Stephan / Marquet, Ine / Schoutens, Wim et al. | 2016
- 421
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The Impact of Cointegration on Commodity Spread OptionsFarkas, Walter / Gourier, Elise / Huitema, Robert / Necula, Ciprian et al. | 2016
- 437
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The Dynamic Correlation Model and Its Application to the Heston ModelTeng, L. / Ehrhardt, M. / Günther, M. et al. | 2016