Innovations in Derivatives Markets Fixed Income Modeling, Valuation
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of
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Kathrin Glau Zorana Grbac Matthias Scherer Rudi Zagst Editors
Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
Springer Proceedings in Mathematics & Statistics Volume 165
Springer Proceedings in Mathematics & Statistics This book series features volumes composed of selected contributions from workshops and conferences in all areas of current research in mathematics and statistics, including operation research and optimization. In addition to an overall evaluation of the interest, scientific quality, and timeliness of each proposal at the hands of the publisher, individual contributions are all refereed to the high quality standards of leading journals in the field. Thus, this series provides the research community with well-edited, authoritative reports on developments in the most exciting areas of mathematical and statistical research today.
More information about this series at http://www.springer.com/series/10533
Kathrin Glau Zorana Grbac Matthias Scherer Rudi Zagst •
•
Editors
Innovations in Derivatives Markets Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
Editors Kathrin Glau Lehrstuhl für Finanzmathematik Technische Universität München Garching-Hochbrück Germany
Matthias Scherer Lehrstuhl für Finanzmathematik Technische Universität München Garching-Hochbrück Germany
Zorana Grbac LPMA Université Paris–Diderot (Paris 7) Paris Cedex 13 France
Rudi Zagst Lehrstuhl für Finanzmathematik Technische Universität München Garching-Hochbrück Germany
ISSN 2194-1009 ISSN 2194-1017 (electronic) Springer Proceedings in Mathematics & Statistics ISBN 978-3-319-33445-5 ISBN 978-3-319-33446-2 (eBook) DOI 10.1007/978-3-319-33446-2 Library of Congress Control Number: 2016939102 © The Editor(s) (if applicable) and The Author(s) 2016. This book is published open access. Open Access This book is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits use, duplication, adaptation, distribution, and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, a link is provided to the Creative Commons license, and any changes made are indicated. The images or other third party material in this book are included in the work’s Creative Commons license, unless indicated otherwise in the credit line; if such material is not included in the work’s Creative Commons license and the respective action is not permitted by statutory regulation, users will need to obtain permission from the license holder to duplicate, adapt or reproduce the material. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume
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