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Wim Schoutens Jessica Cariboni Levy Processes in Credit Risk (Hardback)
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- Buy it nowWim Schoutens Jessica Cariboni Levy Processes in Credit Risk (Hardback)
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Item specifics
- Condition
- Book Title
- Levy Processes in Credit Risk
- EAN
- 9780470743065
- ISBN
- 9780470743065
- Item Length
- 160mm
- Country/Region of Manufacture
- US
- Genre
- Science Nature & Math
- Title
- Levy Processes in Credit Risk
- Release Date
- 24/07/2009
- Release Year
- 2009
- Topic
- Business & Finance
- Publication Name
- Levy Processes in Credit Risk
- Publisher
- John Wiley & Sons INC International Concepts
- Subject
- Finance, Mathematics
- Publication Year
- 2009
- Series
- The Wiley Finance Series
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Item Height
- 233 mm
- Item Weight
- 428 g
- Item Width
- 160 mm
- Number of Pages
- 200 Pages
About this product
Product Information
This book is an introductory guide to using Levy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), Constant Proportion Portfolio Insurances (CPPIs) and Constant Proportion Debt Obligations (CPDOs) as well as new advanced rating models for Asset Backed Securities (ABSs). Jumps and extreme events are crucial stylized features, essential in the modelling of the very volatile credit markets - the recent turmoil in the credit markets has once again illustrated the need for more refined models. Readers will learn how the classical models (driven by Brownian motions and Black-Scholes settings) can be significantly improved by using the more flexible class of Levy processes. By doing this, extreme event and jumps can be introduced into the models to give more reliable pricing and a better assessment of the risks. The book brings in high-tech financial engineering models for the detailed modelling of credit risk instruments, setting up the theoretical framework behind the application of Levy Processes to Credit Risk Modelling before moving on to the practical implementation. Complex credit derivatives structures such as CDOs, ABSs, CPPIs, CPDOs are analysed and illustrated with market data.
Product Identifiers
Publisher
John Wiley & Sons INC International Concepts
ISBN-13
9780470743065
eBay Product ID (ePID)
91406682
Product Key Features
Number of Pages
200 Pages
Publication Name
Levy Processes in Credit Risk
Language
English
Subject
Finance, Mathematics
Publication Year
2009
Type
Textbook
Series
The Wiley Finance Series
Format
Hardcover
Dimensions
Item Height
233 mm
Item Weight
428 g
Item Width
160 mm
Additional Product Features
Country/Region of Manufacture
United States
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- c***8 (1119)- Feedback left by buyer.Past 6 monthsVerified purchaseCD was brand new and sealed as described, superb value.When it did not arrive by the estimate I contacted the seller and they got back to me that day, explaining about the backlog at the post office( Christmas and new year) and requesting me to wait a couple of days so I did and it was delivered in that time. Excellent customer service, very happy, having purchased here before . Packaging was fine, no damage to items enclosed. 🙂🙂Tori Amos Diving Deep Live (CD) Album (#356217224890)
- b***b (77)- Feedback left by buyer.Past 6 monthsVerified purchaseA great company for those harder to find films. DVD arrived well packaged and exactly as described by the seller in great condition. I have purchased from this seller many times and never an issue and the value is very good. A very trustworthy seller with great communication. Thank you again.Die Legende vom Werwolf (DVD) Peter Cushing Ron Moody Freddie Francis (#356473953158)