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Books by Gordon Lee

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  • Modelling, Pricing, and Hedging Counterparty Credit Exposure af Giovanni Cesari
    Modelling, Pricing, and Hedging Counterparty Credit Exposure
    - A Technical Guide
    by Giovanni Cesari, John Aquilina, Niels Charpillon, et al.
    £124.49

    This volume offers practical solutions to the problem of computing credit exposure for large books of derivatives. It presents a software architecture that allows the computation of credit exposure in a portfolio-aggregated and scenario-consistent way.

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