Modern Derivatives Pricing and Credit Exposure Analysis: Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting

This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

Author: Roland Lichters,Roland Stamm,Donal Gallagher
Publisher: Palgrave MacMillan
Published: 10/21/2015
Pages: 466
Binding Type: Hardcover
Weight: 2.02lbs
Size: 9.55h x 6.38w x 1.27d
ISBN: 9781137494832

About the Author
Roland Lichters has headed bank Risk and IT departments - building teams, processes, pricing/risk methodologies and systems. As founding Partner of Quaternion Risk Management, responsible for R&D, he focusses - besides his consulting and advisory work - on the company's QuantLib-based pricing and risk analytics products, implementing the methods covered in this book. Roland holds a PhD and Diploma in Physics and lectures part-time in Financial Engineering at Trinity College Dublin.

Roland Stamm held senior positions in a number of banks' IT and Risk Management departments before joining Quaternion Risk Management as a Partner. In his banking work, he focused on market and credit risk methodology as well as the pricing and risk management of complex financial products. Roland holds a PhD in Mathematics and is co-author of the book Discounting, LIBOR, CVA and Funding (with Chris Kenyon) as well as a part-time lecturer.

Donal Gallagher is a founding Partner and Managing Director of Quaternion Risk Management and advises CFOs and CROs on the transparent pricing, risk and capital management of complex financial instruments. His research interests include default models and portfolio credit products. Donal holds a PhD from the California Institute of Technology in Applied Mathematics and lectures part time in Financial Engineering at Trinity College Dublin.