Valuation in a world of CVA, DVA, and FVA :A tutorial on debt securities and interest rate derivatives /Smith, Donald J.. -Singapore :World Scientific,2018

207 tr. ;24 cm

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

1.Derivative securities2.Bonds3.Valuation

332.63SM - D

9789813224162