发帖
雷达卡
新书的特色
New Features:
Material has been updated and improved. OIS discounting is now used throughout the book. This makes the presentation of the material more straightforward and more theoretically appealing. The valuation of instruments such as swaps and forward rate agreements requires (a) forward rates for the rate used to calculate payments (usually LIBOR) and (b) the risk-free zero curve used for discounting (usually the OIS zero curve). The methods presented can be extended to situations where payments are dependent on any risky rate.
The changes in the tenth edition include the following:
· A rewrite of the chapter on swaps (Chapter 7) to improve presentation and reflect changing market practices.
· A new chapter (Chapter 9) on valuation adjustments (CVA, DVA, FVA, MVA, and KVA). Financial economists have reservations about FVA, MVA, and KVA (and these are explained), but XVAs have become such an important part of derivatives valuation that it is important to cover them.
· Material at various points in the book on how negative interest rates can be handled in pricing models. In the no-arbitrage world that we assume when valuing derivatives, negative rates make no sense. But they are a feature of financial markets in a number of European countries and Japan and cannot be ignored.
· A new chapter on equilibrium models of the term structure (Chapter 31). These models are important pedagogically and are widely used in long-term scenario analyses. I decided that they deserved their own chapter.
· More details on the calculation of Greek letters and smile dynamics.
· More discussion of the expected shortfall measure and stressed risk measures, reflecting their increasing use in regulation and risk management.
· Coverage of the SABR model.
· Updated material on CCPs and the regulation of OTC derivatives.
· Improved material on martingales and measures, tailing the hedge, bootstrap methods, and convertible bonds.
· Updating of examples to reflect current market conditions.
· New end-of chapter problems and revisions to many old end-of-chapter problems.
· New version of the software DerivaGem.
京公网安备 11010802022788号
