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Valuation in a world of CVA, DVA, an...
~
Smith, Donald J., (1947-)
Valuation in a world of CVA, DVA, and FVAa tutorial on debt securities and interest rate derivatives /
Record Type:
Electronic resources : Monograph/item
Title/Author:
Valuation in a world of CVA, DVA, and FVADonald J. Smith.
Reminder of title:
a tutorial on debt securities and interest rate derivatives /
Author:
Smith, Donald J.,
Published:
Singapore ;World Scientific,c2018.
Description:
1 online resource (xviii, 207 p.)
Subject:
BondsValuation.
Online resource:
http://www.worldscientific.com/worldscibooks/10.1142/10511#t=toc
ISBN:
9789813222755$q(electronic bk.)
Valuation in a world of CVA, DVA, and FVAa tutorial on debt securities and interest rate derivatives /
Smith, Donald J.,1947-
Valuation in a world of CVA, DVA, and FVA
a tutorial on debt securities and interest rate derivatives /[electronic resource] :Donald J. Smith. - 1st ed. - Singapore ;World Scientific,c2018. - 1 online resource (xviii, 207 p.)
Includes bibliographical references.
Introduction -- An introduction to the XVA and bond valuation using a binomial tree -- Valuing traditional fixed-rate corporate bonds -- Valuing floating-rate notes and interest rate caps and floors -- Valuing fixed-income bonds having embedded call and put options -- Valuing interest rate swaps with CVA and DVA -- Valuing an interest rate swap portfolio with CVA, DVA, and FVA -- Structured notes -- Summary -- Appendix: The forward rate binomial tree model -- References.
ISBN: 9789813222755$q(electronic bk.)
LCCN: 2017020714Subjects--Topical Terms:
811570
Bonds
--Valuation.
LC Class. No.: HG4651 / .S573 2018
Dewey Class. No.: 332.63/23
Valuation in a world of CVA, DVA, and FVAa tutorial on debt securities and interest rate derivatives /
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[electronic resource] :
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a tutorial on debt securities and interest rate derivatives /
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Donald J. Smith.
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1st ed.
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Singapore ;
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New Jersey :
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World Scientific,
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c2018.
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1 online resource (xviii, 207 p.)
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Includes bibliographical references.
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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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Description based on print version record.
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Bonds
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Valuation.
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http://www.worldscientific.com/worldscibooks/10.1142/10511#t=toc
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1圖書
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EB HG4651 S573 c2018
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1 records • Pages 1 •
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http://www.worldscientific.com/worldscibooks/10.1142/10511#t=toc
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