Modern Derivatives Pricing and Credit Exposure Analysis Theory and P
This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives
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Modern Derivatives Pricing and Credit Exposure Analysis Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting
Roland Lichters, Roland Stamm, Donal Gallagher
© Roland Lichters, Roland Stamm, Donal Gallagher 2015 Softcover reprint of the hardcover 1st edition 2015 978-1-137-49483-2 All rights reserved. No reproduction, copy or transmission of this publication may be made without written permission. No portion of this publication may be reproduced, copied or transmitted save with written permission or in accordance with the provisions of the Copyright, Designs and Patents Act 1988, or under the terms of any licence permitting limited copying issued by the Copyright Licensing Agency, Saffron House, 6–10 Kirby Street, London EC1N 8TS. Any person who does any unauthorized act in relation to this publication may be liable to criminal prosecution and civil claims for damages. The authors have asserted their rights to be identified as the authors of this work in accordance with the Copyright, Designs and Patents Act 1988. First published 2015 by PALGRAVE MACMILLAN Palgrave Macmillan in the UK is an imprint of Macmillan Publishers Limited, registered in England, company number 785998, of Houndmills, Basingstoke, Hampshire RG21 6XS. Palgrave Macmillan in the US is a division of St Martin’s Press LLC, 175 Fifth Avenue, New York, NY 10010. Palgrave Macmillan is the global academic imprint of the above companies and has companies and representatives throughout the world. Palgrave® and Macmillan® are registered trademarks in the United States, the United Kingdom, Europe and other countries ISBN 978-1-349-56693-8 ISBN 978-1-137-49484-9 (eBook) DOI 10.1007/978-1-137-49484-9 This book is printed on paper suitable for recycling and made from fully managed and sustained forest sources. Logging, pulping and manufacturing processes are expected to conform to the environmental regulations of the country of origin. A catalogue record for this book is available from the British Library. A catalog record for this book is available from the Library of Congress.
To our families
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Contents List of Figures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xiv List of Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xxii Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xxv Acknowledgements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xxix List of Abbreviations and Symbols . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xxx Part I
Discounting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1
Discounting Before the Crisis . . . . . . . 1.1 The risk-free rate . . . . . . . . . . . . 1.2 Pricing linear instruments . . . . . . 1.2.1 Forward rate agreements . 1.2.2 Interest rate swaps . . . . . . 1.2.3 FX forward
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