Get Access ♐ Modelling Single-name and Multi-name Credit Derivatives.
Modelling Single-name and Multi-name Credit Derivatives
by Dominic O'Kane
Binding: Hardcover
Author:
Number of Pages:
Amazon Page : https://www.amazon.com/Modelling-Single-name-Multi-name-Credit-Derivatives/dp/0470519282
Amazon Price : $92.11
Lowest Price :
Total Offers :
Rating: 4.5
Total Reviews: 6
Results Modelling Single-name and Multi-name Credit Derivatives
Modelling Singlename and Multiname Credit Derivatives Modelling Singlename and Multiname Credit Derivatives presents an uptodate comprehensive accessible and practical guide to the pricing and riskmanagement of credit derivatives It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners Modelling Single‐name and Multi‐name Credit Derivatives Modelling Singlename and Multiname Credit Derivatives presents an uptodate comprehensive accessible and practical guide to the pricing and riskmanagement of credit derivatives It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners Modelling Singlename and Multiname Credit Derivatives Description Modelling Singlename and Multiname Credit Derivatives presents an uptodate comprehensive accessible and practical guide to the pricing and riskmanagement of credit derivatives It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners Modelling Singlename and Multiname Credit Derivatives x Modelling Singlename and Multiname Credit Derivatives 128 The Standard Index Tranches 240 129 Summary 240 13 The Gaussian Latent Variable Model 241 131 Introduction 241 132 The Model 241 133 The Multiname LatentVariable Model 243 134 Conditional Independence 246 135 Simulating Multiname Default 248 136 Default Induced Spread Dynamics 253 Modelling Singlename and Multiname Credit Derivatives viii Modelling Singlename and Multiname Credit Derivatives 37 Modelling Default as a Cox Process 46 38 A Gaussian Short Rate and Hazard Rate Model 49 39 Independence and Deterministic Hazard Rates 51 310 The Credit Triangle 54 311 The Credit Risk Premium 55 312 Summary 57 313 TechnicalAppendix 57 4 Bonds andAsset Swaps 59 41 Introduction 59 9780470519288 Modelling Singlename and Multiname Credit Modelling Singlename and Multiname Credit Derivatives presents an uptodate comprehensive accessible and practical guide to the pricing and riskmanagement of credit derivatives It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners Modelling Singlename and Multiname Credit Derivatives Modelling Singlename and Multiname Credit Derivatives presents an uptodate comprehensive accessible and practical guide to the pricing and riskmanagement of credit derivatives Modelling Singlename and Multiname Credit Derivatives Modelling Singlename and Multiname Credit Derivatives presents an uptodate comprehensive accessible and practical guide to the pricing and riskmanagement of credit derivatives It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners
