Name: Modelling, pricing, and hedging counterparty credit exposure
ISBN: 9783642044533

Book information

Authors: Giovanni Cesari verified identity
First published: 2009
Editions known: 4
Publishers: Springer
Languages: eng
ISBN-13: 9783642044533, 9783642044540, 9783642044847, 9783642262081
Main topics: Risk Management, Mathematical Finance
Also covers: Quantitative Finance, Numerical Methods, Derivatives Pricing
Related site topics: Options & Derivatives Pricing, Risk Management & Tail Risk, Stochastic Control & Optimal Stopping

Overview

Modelling, pricing, and hedging counterparty credit exposure is a book by Giovanni Cesari, first published in 2009. In this catalogue it is classified mainly under Risk Management and Mathematical Finance, with secondary coverage of Quantitative Finance, Numerical Methods and Derivatives Pricing.

Audience and depth. The rule-based model places its mathematical difficulty at advanced level (7/10); readers are typically expected to know calculus, linear algebra, numerical analysis, probability theory, statistics and stochastic processes.

Orientation. The theory-versus-practice balance could not be determined from metadata. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 97% and difficulty confidence is 93%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	70/100 confidence 97% Score 70.4/100. Strongest: quant_relevance 1.00, technical_depth 0.70; weakest: practical_applicability 0.00. Evidence: subjects:'mathematical finance', subjects:'quantitative finance', subjects:'hedging (finance)'.
Mathematical difficulty	Advanced (7/10) confidence 93%
Prerequisites	calculus, linear algebra, numerical analysis, probability theory, statistics, stochastic processes
Metadata quality	98%

Difficulty evidence (7 signals)

intro_statistics matched in subjects: “statistics for”
mathematical_finance_core matched in subjects: “mathematical finance”
numerical_methods matched in subjects: “numerical analysis”
probability_basics matched in subjects: “probability”
statistical_inference matched in subjects: “statistics”
stochastic_processes matched in openalex_topics: “stochastic processes”
stochastic_processes matched in subjects: “stochastic processes”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement Topic similarity inferred similarity 0.39
Function approximations for counterparty credit exposure calculations Topic similarity inferred similarity 0.39
Fast calculation of Counterparty Credit exposures and associated sensitivities using fourier series expansion Topic similarity inferred similarity 0.37
Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk Topic similarity inferred similarity 0.37
CVA Sensitivities, Hedging and Risk Topic similarity inferred similarity 0.34
Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks Topic similarity inferred similarity 0.34

Similar books

Option Theory with Stochastic Analysis inferred similarity 0.61
Financial Risk in Insurance inferred similarity 0.60
Asymptotic Chaos Expansions in Finance inferred similarity 0.59
Mathematical Risk Analysis inferred similarity 0.59
Contemporary Quantitative Finance inferred similarity 0.58

Author profiles

Giovanni Cesari verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9783642262081) (search link; may be an affiliate link)

Relationship graph

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