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Perturbation methods in credit deriv...

Turfus, Colin.

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Perturbation methods in credit derivatives = strategies for efficient risk management /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Perturbation methods in credit derivatives/ Colin Turfus.
其他題名:	strategies for efficient risk management /
作者:	Turfus, Colin.
出版者:	Chichester, West Sussex, UK :John Wiley & Sons, : 2021.,
面頁冊數:	1 online resource (xvi, 233 p.) :ill.
標題:	Credit derivatives. -
電子資源:	https://onlinelibrary.wiley.com/doi/book/10.1002/9781119610168
ISBN:	9781119610168

Perturbation methods in credit derivatives = strategies for efficient risk management /
Turfus, Colin.

Perturbation methods in credit derivativesstrategies for efficient risk management /[electronic resource] :Colin Turfus. - Chichester, West Sussex, UK :John Wiley & Sons,2021. - 1 online resource (xvi, 233 p.) :ill. - Wiley finance series. - Wiley finance series..

Includes bibliographical references and index.

"Perturbation methods are currently seeing a surge of popularity, with Pat Hagan and collaborators generalising and extending their SABR approach to European option pricing (See for example Wilmott magazine, Managing Vol Surfaces, P. Hagan et al, 23 January 2018) and their methods being extended by various groups worldwide to cover more exotic options. The power of Green's function approaches is also being rediscovered. At the same time the increasing regulatory burden of ever more stress testing of models and of hedging strategies for market risk and counterparty risk puts computational efficiency at a premium. Financial institutions' default strategy of throwing everything into a big Monte Carlo simulation is reaching its limits with a premium on intelligent strategies allowing a trade-off, with the cost of introducing bespoke algorithms or approximations into risk calculations being compensated by a reduced computational burden. Perturbation methods provide a simple but widely applicable methodology for obtaining tractable but accurate analytic approximations useful for pricing of credit-contingent financial products and for risk management purposes such as XVA and exposure calculations"--

ISBN: 9781119610168Subjects--Topical Terms:

742242
Credit derivatives.

LC Class. No.: HG6024.A3 / T87 2021

Dewey Class. No.: 332.64/57

Perturbation methods in credit derivatives = strategies for efficient risk management /
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245 1 0 $a Perturbation methods in credit derivatives $h [electronic resource] : $b strategies for efficient risk management / $c Colin Turfus.
260 $a Chichester, West Sussex, UK : $b John Wiley & Sons, $c 2021.
300 $a 1 online resource (xvi, 233 p.) : $b ill.
490 1 $a Wiley finance series
504 $a Includes bibliographical references and index.
520 $a "Perturbation methods are currently seeing a surge of popularity, with Pat Hagan and collaborators generalising and extending their SABR approach to European option pricing (See for example Wilmott magazine, Managing Vol Surfaces, P. Hagan et al, 23 January 2018) and their methods being extended by various groups worldwide to cover more exotic options. The power of Green's function approaches is also being rediscovered. At the same time the increasing regulatory burden of ever more stress testing of models and of hedging strategies for market risk and counterparty risk puts computational efficiency at a premium. Financial institutions' default strategy of throwing everything into a big Monte Carlo simulation is reaching its limits with a premium on intelligent strategies allowing a trade-off, with the cost of introducing bespoke algorithms or approximations into risk calculations being compensated by a reduced computational burden. Perturbation methods provide a simple but widely applicable methodology for obtaining tractable but accurate analytic approximations useful for pricing of credit-contingent financial products and for risk management purposes such as XVA and exposure calculations"-- $c Provided by publisher.
588 $a Description based on print version record.
650 0 $a Credit derivatives. $3 742242
650 0 $a Financial risk management. $3 781346
830 0 $a Wiley finance series. $3 742241
856 4 0 $u https://onlinelibrary.wiley.com/doi/book/10.1002/9781119610168