skip to content
Valuation In A World Of Cva, Dva, And Fva. Preview this item
ClosePreview this item
Checking...

Valuation In A World Of Cva, Dva, And Fva.

Author: Donald J Smith
Publisher: Singapore : World Scientific Publishing Company, 2017.
Edition/Format:   eBook : Document : English
Summary:

The monograph addresses a canonical problem in linear water wave theory, through the development-detailed, asymptotic analysis of contour integrals in the complex plane. It is anticipated that the  Read more...

Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Smith, Donald J.
Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives.
Singapore : World Scientific Publishing Company, ©2017
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Donald J Smith
ISBN: 9789813222755 9813222751
OCLC Number: 1003264848
Description: 1 online resource (226 pages)
Contents: Introduction; About the Author; Chapter I. An Introduction to Bond Valuation Using a Binomial Tree; I.1: Valuation of a Default-Risk-Free Bond Using a Binomial Tree with Backward Induction; I.2: Pathwise Valuation of a Default-Risk-Free Bond Using a Binomial Tree; I.3: Recommendations for Readers; I.4: Study Questions; I.5: Answers to the Study Questions; Chapter II. Valuing Traditional Fixed-Rate Corporate Bonds; II. 1: The CVA and DVA on a Newly Issued 3.50% Fixed-Rate Corporate Bond; II. 2: The CVA and DVA on a Seasoned 3.50% Fixed-Rate Corporate Bond. II. 3: The Impact of Volatility on Bond Valuation via Credit RiskII. 4: Duration and Convexity of a Traditional Fixed-Rate Bond; II. 5: Study Questions; II. 6: Answers to the Study Questions; Endnotes; Chapter III. Valuing Floating-Rate Notes and Interest Rate Caps and Floors; III. 1: CVA and Discount Margin on a Straight Floater; III. 2: A Capped Floating-Rate Note; III. 3: A Standalone Interest Rate Cap; III. 4: Effective Duration and Convexity of a Floating-Rate Note; III. 5: The Impact of Volatility on the Capped Floater; III. 6: Study Questions; III. 7: Answers to the Study Questions; Endnotes. Chapter IV. Valuing Fixed-Income Bonds Having Embedded Call and Put OptionsIV. 1: Valuing an Embedded Call Option; IV. 2: Calculating the Option-Adjusted Spread (OAS); IV. 3: Effective Duration and Convexity of a Callable Bond; IV. 4: The Impact of a Change in Volatility on the Callable Bond; IV. 5: Study Questions; IV. 6: Answers to the Study Questions; Endnote; Chapter V. Valuing Interest Rate Swaps with CVA and DVA; V.1: A 3% Fixed-Rate Interest Rate Swap; V.2: The Effects of Collateralization; V.3: An Off-Market, Seasoned 4.25% Fixed-Rate Interest Rate Swap. V.4: Valuing the 4.25% Fixed-Rate Interest Rate Swap as a Combination of BondsV. 5: Valuing the 4.25% Fixed-Rate Interest Rate Swap as a Cap-Floor Combination; V.6: Effective Duration and Convexity of an Interest Rate Swap; V.7: Study Questions; V.8: Answers to the Study Questions; Endnotes; Chapter VI. Valuing an Interest Rate Swap Portfolio with CVA, DVA, and FVA; VI. 1: Valuing a 3.75%, 5-Year, Pay-Fixed Interest Rate Swap with CVA and DVA; VI. 2: Valuing the Combination of the Pay-Fixed Swap and the Hedge Swap; VI. 3: Swap Portfolio Valuation Including FVA --
First Method. VI. 4: Swap Portfolio Valuation Including FVA --
Second MethodVI. 5: Study Questions; VI. 6: Answers to the Study Questions; Endnotes; Chapter VII. Structured Notes; VII. 1: An Inverse (Bull) Floater; VII. 2: A Bear Floater; VII. 3: Study Questions; VII. 4: Answers to the Study Questions; Endnote; Chapter VIII. Summary; References; Appendix: The Forward Rate Binomial Tree Model; Endnotes to the Appendix.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/1003264848> # Valuation In A World Of Cva, Dva, And Fva.
    a schema:Book, schema:CreativeWork, schema:MediaObject ;
    library:oclcnum "1003264848" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/si> ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/4489912445#Place/singapore> ; # Singapore
    schema:about <http://dewey.info/class/332.6323/e23/> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/4489912445#Topic/business_&_economics_finance> ; # BUSINESS & ECONOMICS / Finance
    schema:about <http://experiment.worldcat.org/entity/work/data/4489912445#Topic/derivative_securities_valuation> ; # Derivative securities--Valuation
    schema:about <http://experiment.worldcat.org/entity/work/data/4489912445#Topic/bonds_valuation> ; # Bonds--Valuation
    schema:bookFormat schema:EBook ;
    schema:creator <http://experiment.worldcat.org/entity/work/data/4489912445#Person/smith_donald_j> ; # Donald J. Smith
    schema:datePublished "2017" ;
    schema:description "Introduction; About the Author; Chapter I. An Introduction to Bond Valuation Using a Binomial Tree; I.1: Valuation of a Default-Risk-Free Bond Using a Binomial Tree with Backward Induction; I.2: Pathwise Valuation of a Default-Risk-Free Bond Using a Binomial Tree; I.3: Recommendations for Readers; I.4: Study Questions; I.5: Answers to the Study Questions; Chapter II. Valuing Traditional Fixed-Rate Corporate Bonds; II. 1: The CVA and DVA on a Newly Issued 3.50% Fixed-Rate Corporate Bond; II. 2: The CVA and DVA on a Seasoned 3.50% Fixed-Rate Corporate Bond."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/4489912445> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isSimilarTo <http://worldcat.org/entity/work/data/4489912445#CreativeWork/valuation_in_a_world_of_cva_dva_and_fva_a_tutorial_on_debt_securities_and_interest_rate_derivatives> ;
    schema:name "Valuation In A World Of Cva, Dva, And Fva."@en ;
    schema:productID "1003264848" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/1003264848#PublicationEvent/singapore_world_scientific_publishing_company_2017> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/4489912445#Agent/world_scientific_publishing_company> ; # World Scientific Publishing Company
    schema:url <http://public.ebookcentral.proquest.com/choice/publicfullrecord.aspx?p=5008104> ;
    schema:url <http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1570570> ;
    schema:workExample <http://worldcat.org/isbn/9789813222755> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/1003264848> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/4489912445#Agent/world_scientific_publishing_company> # World Scientific Publishing Company
    a bgn:Agent ;
    schema:name "World Scientific Publishing Company" ;
    .

<http://experiment.worldcat.org/entity/work/data/4489912445#Person/smith_donald_j> # Donald J. Smith
    a schema:Person ;
    schema:familyName "Smith" ;
    schema:givenName "Donald J." ;
    schema:name "Donald J. Smith" ;
    .

<http://experiment.worldcat.org/entity/work/data/4489912445#Topic/business_&_economics_finance> # BUSINESS & ECONOMICS / Finance
    a schema:Intangible ;
    schema:name "BUSINESS & ECONOMICS / Finance"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4489912445#Topic/derivative_securities_valuation> # Derivative securities--Valuation
    a schema:Intangible ;
    schema:name "Derivative securities--Valuation"@en ;
    .

<http://worldcat.org/entity/work/data/4489912445#CreativeWork/valuation_in_a_world_of_cva_dva_and_fva_a_tutorial_on_debt_securities_and_interest_rate_derivatives>
    a schema:CreativeWork ;
    rdfs:label "Valuation In A World Of Cva, Dva, And Fva : A Tutorial On Debt Securities And Interest Rate Derivatives." ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/1003264848> ; # Valuation In A World Of Cva, Dva, And Fva.
    .

<http://worldcat.org/isbn/9789813222755>
    a schema:ProductModel ;
    schema:isbn "9813222751" ;
    schema:isbn "9789813222755" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.