Name: Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives
ISBN: 9789813222748

Book information

Authors: DONALD J SMITH verified identity
First published: 2017
Editions known: 2
Publishers: WORLD SCIENTIFIC
ISBN-13: 9789813222748, 9789813222755
Main topics: Fixed Income, Derivatives Pricing
Also covers: Risk Management
Related site topics: Fixed Income & Interest Rates, Options & Derivatives Pricing, Risk Management & Tail Risk

Overview

Valuation in a World of CVA, DVA, and FVA is a book by DONALD J SMITH, first published in 2017. In this catalogue it is classified mainly under Fixed Income and Derivatives Pricing, with secondary coverage of Risk Management.

Audience and depth. The available metadata did not allow a mathematical difficulty estimate, so none is shown; treat the technical level as unknown.

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 78% and difficulty confidence is 0%; 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	63/100 confidence 78% Score 62.6/100. Strongest: quant_relevance 0.98, metadata_completeness 0.85; weakest: practical_applicability 0.00. Evidence: subtitle:'interest rate derivatives', subjects:'derivative securities'. Difficulty unknown (neutral technical_depth).
Mathematical difficulty	Unknown
Metadata quality	70%

Difficulty evidence (1 signal)

stochastic_processes matched in openalex_topics: “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.

A Unifying Approach for the Pricing of Debt Securities Topic similarity inferred similarity 0.49
Shifting the yield curve for fixed-income and derivatives portfolios Topic similarity inferred similarity 0.47
Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure Topic similarity inferred similarity 0.46
Choice of Collateral Currency in Differential Swaps Related research area inferred similarity 0.44
Deep Hedging Bermudan Swaptions Related research area inferred similarity 0.44
On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution Related research area inferred similarity 0.43

Similar books

Valuation of Interest Rate Derivative Securities inferred similarity 0.53
Efficient Methods for Valuing Interest Rate Derivatives inferred similarity 0.52
Interest Rate Models inferred similarity 0.50
Interest rate models inferred similarity 0.49
Interest Rate Swaps and Their Derivatives inferred similarity 0.49

Author profiles

DONALD J SMITH verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9789813222755) (search link; may be an affiliate link)

Relationship graph

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