Innovations in Derivatives Markets

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 the art in:§§- §Modeling§counterparty credit risk: credit valuation adjustment, debit valuation§adjustment, funding valuation adjustment, and wrong way risk.§- §Pricing§and hedging in fixed-income markets and multi-curve interest-rate modeling.§§- §Recent§developments concerning contingent convertible bonds, the measuring of basis§spreads, and the modeling of implied correlations. §§The recent§financial crisis has cast tremendous doubts on the classical view on derivative§pricing. Now, counterparty credit risk and liquidity issues are integral§aspects of a prudent valuation procedure and the reference interest rates are§represented by a multitude of curves according to their different periods and§maturities.§§A panel§discussion included in the book (featuring Damiano Brigo, Christian Fries, John§Hull, and Daniel Sommer) on the foundations of modeling and pricing in the§presence of counterparty credit risk provides intriguing insights on the§debate.§