Quantitative analysis, derivatives modeling, and trading strategies: in the presence of counterparty credit risk for the fixed-income market
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Hackensack, N. J. [u.a.]
World Scientific Publ.
2008
|
| Ausgabe: | 1. publ., reprint. |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020493777&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XXII, 498 S. graph. Darst. |
| ISBN: | 9810240791 9789810240790 |
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| 245 | 1 | 0 | |a Quantitative analysis, derivatives modeling, and trading strategies |b in the presence of counterparty credit risk for the fixed-income market |c Yi Tang ; Bin Li |
| 250 | |a 1. publ., reprint. | ||
| 264 | 1 | |a Hackensack, N. J. [u.a.] |b World Scientific Publ. |c 2008 | |
| 300 | |a XXII, 498 S. |b graph. Darst. | ||
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Datensatz im Suchindex
| DE-BY-TUM_call_number | 0048 WIR 170f 2010 A 5797 |
|---|---|
| DE-BY-TUM_katkey | 1735747 |
| DE-BY-TUM_location | LSB |
| DE-BY-TUM_media_number | 040010234863 |
| _version_ | 1821932832775208960 |
| adam_text | Contents
Preface vii
PART I THEORY AND APPLICATIONS OF
DERIVATIVES MODELING 1
Chapter 1 Introduction to Counterparty Credit Risk 3
1.1 Credit Charge, Credit Benefit, and Credit Premium 8
1.2 Credit Cost, Accrued Funding Cost, and Accrued
Funding Benefit 14
1.3 Trading Strategies and Opportunities 17
1.4 Comparison with Bond Credit Risk 28
1.5 Prevailing Strategies for Counterparty Credit Risk
Management 30
1.6 Wrong-way and Right-way Exposures or Trades 33
1.7 Introduction to Modeling and Pricing of Counterparty
Credit Risk 35
Chapter 2 Martingale Arbitrage Pricing in Real Market 37
2.1 Basics of Arbitrage 38
2.1.1 A rbitrage Opportunity and A rbitrage Pricing 3 8
2.1.2 Self Financing Trading Strategies and Arbitrage 42
2.2 Subtleties in Arbitrage Pricing in Real Market 45
2.2.1 Counterparty Credit Risk 45
2.2.2 The Risk-free Interest Rate 45
2.2.3 Bid/Ask Spread 49
xvi Contents
2.2.4 Un-hedgeable Variables 51
2.2.5 Primary Model Calibration and Secondary Model
Calibration 53
2.2.6 Models for Pricing, Models for Hedging, and Hedging
Calibration 56
2.2.7 Incomplete Market and Completing the Market 60
2.3 Arbitrage Models and Non-arbitrage Models 61
2.3.1 Arbitrage Models and Non-arbitrage Models 61
2.3.2 Financial Market Participants and Financial Activities 63
2.4 Trading Opportunities and Strategies 66
2.4.1 Simple Bonds and IR Swaps 68
2.4.2 Callable Bonds and Cancelable IR Swaps 72
2.4.3 Examples of Practical Complications 73
2.4.4 Structured Notes and Exotic Derivatives 74
2.4.5 IR/FX Hybrid Notes and Derivatives 79
2.4.6 Asset Swaps and Repackaging 82
2.4.7 Credit Hybrid Derivatives 82
2.4.8 Capital Structure Arbitrage 84
2.4.9 Quasi-arbitrage Opportunities 86
2.4.10 Why Should Derivatives Instruments Exist 87
2.5 Martingale Arbitrage Modeling 89
2.5.7 Harrison-Pliska Martingale No-arbitrage Theorem 89
2.5.2 Martingale Derivatives Pricing in a Binomial
Economy 91
2.5.3 Harrison-Pliska Martingale No-arbitrage Theorem
for Assets with Intermediate Cashflows or Income 96
2.5.4 Foundation for Arbitrage Pricing 97
2.5.5 Examples of Martingales and Equivalent Martingale
Measures 98
2.5.6 Martingale Representation and SDEfor Derivatives
Pricing 101
2.5.7 Change of Probability Measure and Importance
Sampling 109
2.5.8 PDEfor Derivatives Pricing and P L Decomposition 113
2.5.9 SABR Stochastic Volatility Model 118
2.5.10 An Example of Martingale Modeling in Real Market 119
2.6 Problems 122
Contents xvii
Chapter 3 The Black-Scholes Framework and Extensions 123
3.1 More on Martingale Models 123
3.1.1 Single State Variable and Single Numeraire 124
3.1.2 Single State Variable and Multiple Numeraires 133
3.2 Black s Model 142
3.3 Put-Call Parity Revised 143
3.4 Replication Model 147
3.5 Impact of Volatility Skews and Smiles on Hedge Ratios
and Hedging Strategies 149
3.6 Other Extensions of Black-Scholes Framework 152
Chapter 4 Martingale Resampling and Interpolation 153
4.1 Martingale Interpolation 159
4.2 Brownian Bridge Interpolation 164
4.3 Moment Matching in One-factor Case 167
4.3.1 Quadratic Resampling 168
4.3.2 Moment Matching for All Odd Moments and Kurtosis 168
4.3.3 Moment Matching for Higher Order Moments 172
4.3.4 Conditional Quadratic Resampling 1A
4.4 Moment Matching in Multi-factor Case 178
4.5 Martingale Resampling 180
4.5.1 Unconditional Martingale Resampling at the State
Variable Level 181
4.5.2 Conditional Martingale Resampling at the State
Variable Level 192
4.5.3 Brownian Bridge Resampling at the State Variable
Level 197
4.5.4 Martingale Control Variate at the Underlying
Instrument Level 198
4.5.5 Martingale Resampling at the Derivatives Price Level 200
4.5.6 Application to Secondary Model Calibration 202
4.6 Other Applications of Martingale Resampling 203
4.6.1 Modeling of Multiple Indices 204
4.6.2 JLT Risk Neutralization of Credit Rating Transition
Process 205
4.6.3 Calibration of Credit Spread Processes 208
4.6.4 Risk Neutralization of Mortgage Prepayment Model 210
4.7 Accuracy and Precision Tests 210
4.8 Examples of Numerical Results 210
xviii Contents
Chapter 5 Introduction to Interest Rate Term Structure
Modeling 212
5.1 Interest Rate Models Classification 212
5.2 Short Rate Models 213
5.2.1 Gaussian Short Rate Models 214
5.2.2 Lognormal Short Rate Models 215
5.2.3 Constant Elasticity of Variance Models 215
5.3 Affine Models and Quadratic Models 215
5.4 What Interest Rate Models Should One Use? 216
Chapter 6 The Heath-Jarrow-Morton Framework 218
6.1 The Heath-Jarrow-Morton Model 218
6.2 The Ritchken-Sankarasubramanian Model 224
6.3 The Inui-Kijima Model 228
6.4 Overview of Numerical Implementations of the RS and
the IK Model 234
6.4.7 Recombining Trinomial Tree Technique 234
6.4.2 Adaptive Recombining Trinomial Tree Technique 239
6.4.3 Overview of Applications of the Adaptive Trinomial
Tree Technique to the RS Model and the IK Model 241
6.5 Appendix 242
6.5.1 Closed-form Solutions for the RS Model 242
6.5.2 Closed-form Solutions for the IK Model 246
Chapter 7 The Interest Rate Market Model 249
7.1 BGM Model versus HJM Model 250
7.2 The Brace-Gatarek-Musiela Original Approach 252
7.3 Comparison Between HJM and BGM Models 256
7.4 Jamshidian s Approach 258
7.5 Martingale Approach 259
7.5.1 The LIBOR Market Model and the Black Formula for
Caps/Floors 259
7.5.2 The Swap Market Model and the Black Formula for
European Swaptions 266
7.6 Overview of Simultaneous and Globally Consistent
Pricing and Hedging 273
7.6.7 Simultaneous Consistent Pricing Through Approximation 275
7.6.2 More on Simultaneous Consistent Pricing 279
Contents xix
7.7 More on the Martingale or Full-dimensional LIBOR
Market Model 283
7.8 Modeling Interest Rate Volatility Skew and Smile 287
7.8.1 CEVand LCEV Models for Modeling the Volatility Skew 288
7.8.2 Examples of Volatility Skew for Caplets and Swaptions 290
7.9 The Nonexploding Bushy Tree Technique 292
7.9.1 Construction of a Nonexploding Bushy Tree 294
7.9.2 Modeling Stochastic Processes on a Nonexploding
Bushy Tree 297
7.9.3 Application of Martingale Control Variate Technique 301
7.9.4 Numerical Results 303
7.10 General Framework for Multi-factor Modeling for
Hybrid Market 312
7.11 Stochastic Volatility BGM Models 314
7.12 Examples of Stochastic Volatility BGM Model Results 316
7.13 Appendix 317
7.13.1 More Numerical Results Obtained With the NBT
Technique 317
7.13.2 Sufficient Conditions for Convergence 319
7.13.3 Application ofGirsanov s Change of Measure Theorem
to Derivation of the Martingale or Full-dimensional
LIBOR Market Model 323
Chapter 8 Credit Risk Modeling and Pricing 327
8.1 Pricing Simple Defaultable Instruments 328
8.2 Default Contingent Instruments 334
8.3 A Simple Markov Chain Model 335
8.4 Modeling Correlated Default Event Processes with a
Factor Model 341
8.5 Modeling Correlated Default Time Processes with the
Copula Approach 348
8.6 Recovery Rate Modeling 350
8.7 Risky Market Model for Credit Spread Modeling 351
8.8 Joint Credit Spread and Default Modeling 359
8.9 Counterparty Credit Risk Pricing in OTC Derivatives 362
8.9.1 Credit Charge Calculation 365
8.9.2 Expected and Potential Exposures and Expected
Shortfall 366
8.9.3 Credit Benefit Calculation 368
xx Contents
8.9.4 Collateral or Margin Agreement 369
8.9.5 Net Credit Charge and Funding Spread Calculation 370
8.9.6 Martingale Relationships in Credit Charge Calculations 372
8.9.7 Closed-form Solutions and Approximations 374
8.10 Framework for Counterparty Credit Risk Modeling and
Pricing 378
8.10.1 Centralized Market Process Modeling and Scenario
Generation Engine 380
8.10.2 Exposure or MTM Modeling Engine 380
8.10.3 New Trade and Real-time Exposure or MTM Modeling
Engine 382
8.10.4 Counterparty Credit Process Modeling and Scenario
Generation Engine 383
8.10.5 Portfolio Effect Handling and Aggregation Engine 383
8.10.6 Counterparty Credit Risk Pricing Engine 384
8.10.7 Sensitivity and Scenario Analysis Engine 384
8.10.8 Unexpected Risk Modeling Engine 385
PART II INTEREST RATE MARKET FUNDAMENTALS
AND PROPRIETARY TRADING STRATEGIES 387
Chapter 9 Simple Interest Rate Products 389
9.1 Treasury Issues 389
9.1.1 Treasury Bills 389
9.1.2 Treasury Notes and Bonds 390
9.2 Futures Contracts 391
9.2.1 Euro-dollars and LIBOR 392
9.2.2 Euro-dollar Futures 392
9.2.3 Note and Bond Futures 393
9.3 Interest Rate Derivatives 394
9.4 Interest Rate Swaps 394
9.4.1 Plain Vanilla Interest Rate Swap 394
9.4.2 Forward Swap 395
9.4.3 Basis Swap 395
9.4.4 Constant Maturity Swap 395
9.4.5 Swaption 395
9.5 Bond Options 396
9.5.1 OTC Options 396
Contents xxi
Chapter 10 Yield Curve Modeling 397
10.1 Introduction 397
10.2 The Bootstrap Method 398
10.3 Orthogonal Exponential Spline Model 399
10.3.1 Exponential Basis Functions 400
10.3.2 Maximum Likelihood Estimates for Spline Coefficients 403
10.3.3 Implementation of the Spline Model 405
10.3.4 Summary 406
10.4 Swap Curve 406
10.4.1 Constructing Euro-dollar Strip Curve 407
10.4.2 Convexity Adjustment 408
Chapter 11 Two-Factor Risk Model 411
11.1 PC A and TFRM Methodologies 411
11.2 Principal Components Analysis 413
11.3 Two-factor Risk Model Specification 418
11.4 Empirical Validation 421
11.5 Applications 423
11.5.1 Level-hedged Bullet/Barbell Trades 423
11.5.2 Two-factor Portfolio Hedging Strategy 423
11.5.3 Bond Indices with Level and Curve Risk Profile 426
11.6 Adjusted Durations 427
11.6.1 ^-Adjusted Duration 430
11.6.2 Hedging the Extremely Long End 432
11.7 Future Directions 433
Chapter 12 The Holy Grail — Two-Factor Interest Rate
Arbitrage 434
12.1 Profit, Loss, and Financing Costs 434
12.2 Two-factor Arbitrage 435
12.3 Trading Strategy 437
Chapter 13 Yield Decomposition Model 440
13.1 Volatility Adjusted Duration 441
13.2 Dollar Value of Convexity 442
13.3 Expected Total Rate of Return 443
13.4 Measurement of Risk Premium 444
13.5 Expectation Curve 445
xxii Contents
13.6 Expected FED Funds Rate 447
13.7 Yield Decomposition Analysis 447
13.8 Discussion 448
Chapter 14 Inflation Linked Instruments Modeling 450
14.1 Inflation Swaps 451
14.2 Functions and Applications 452
14.2.1 Asset/Liability Management 453
14.2.2 Inflation Swaps as Hedging and Trading Instruments 453
14.2.3 Investment Alternatives 453
14.2.4 Inflation Linked Debt Issuance 454
14.2.5 Complementary to Interest Rate Swaps 454
14.3 Inflation Swap Level 455
14.4 Real Rate Swap Curve 456
14.5 Zero-coupon Inflation Swap Curve Valuation Methods 457
14.6 Risk Measures and Hedging 458
14.7 Prospect of the Inflation Swap Business 460
Chapter 15 Interest Rate Proprietary Trading Strategies 461
15.1 Rich/Cheap Trade 462
15.2 Rich/Cheap Analysis 464
15.2.1 Yield Curve Sector Rich/Cheap Analysis 464
15.2.2 Rich/Cheap Analysis for Notes and Bonds 466
15.3 Bond/Swap Trade 468
15.4 Curvature Trade 469
15.5 Spread Trade 470
15.6 Box Trade 472
15.7 OAT Floater Trade 472
15.8 Cash/Futures Trade 473
15.9 A Generic Convergence Trading Strategy 473
15.10 Other Factors Related to Trading Strategy 476
15.10.1 Transaction Cost 476
75.10.2 Higher Risk and Highly Profitable Trades 411
15.10.3 Bet Big When All Components Line Up 478
15.10.4 Human Judgment 478
References 479
Index 491
|
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| format | Book |
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| id | DE-604.BV036572695 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T14:37:14Z |
| institution | BVB |
| isbn | 9810240791 9789810240790 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020493777 |
| oclc_num | 705675097 |
| open_access_boolean | |
| owner | DE-91G DE-BY-TUM |
| owner_facet | DE-91G DE-BY-TUM |
| physical | XXII, 498 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | World Scientific Publ. |
| record_format | marc |
| spellingShingle | Tang, Yi Li, Bin Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for the fixed-income market Derivat Wertpapier (DE-588)4381572-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd Rentenmarkt (DE-588)4177794-3 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4114528-8 (DE-588)4177794-3 |
| title | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for the fixed-income market |
| title_auth | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for the fixed-income market |
| title_exact_search | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for the fixed-income market |
| title_full | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for the fixed-income market Yi Tang ; Bin Li |
| title_fullStr | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for the fixed-income market Yi Tang ; Bin Li |
| title_full_unstemmed | Quantitative analysis, derivatives modeling, and trading strategies in the presence of counterparty credit risk for the fixed-income market Yi Tang ; Bin Li |
| title_short | Quantitative analysis, derivatives modeling, and trading strategies |
| title_sort | quantitative analysis derivatives modeling and trading strategies in the presence of counterparty credit risk for the fixed income market |
| title_sub | in the presence of counterparty credit risk for the fixed-income market |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd Rentenmarkt (DE-588)4177794-3 gnd |
| topic_facet | Derivat Wertpapier Mathematisches Modell Rentenmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020493777&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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