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Modelling Single-Name and Multi-Name Credit Derivatives, Hardcover by O'Kane,...
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Approximately£92.68
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Located in: Jessup, Maryland, United States
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eBay item number:363881441662
Item specifics
- Condition
- Book Title
- Modelling Single-Name and Multi-Name Credit Derivatives
- ISBN
- 9780470519288
- Subject Area
- Business & Economics
- Publication Name
- Modelling Single-Name and Multi-Name Credit Derivatives
- Publisher
- Wiley & Sons, Incorporated, John
- Item Length
- 9.9 in
- Subject
- Investments & Securities / Derivatives, Finance / General
- Publication Year
- 2008
- Series
- The Wiley Finance Ser.
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Item Height
- 1.3 in
- Item Weight
- 35.6 Oz
- Item Width
- 6.9 in
- Number of Pages
- 512 Pages
About this product
Product Information
Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs. Divided into two parts, part one of this book covers single-name credit derivatives. Reflecting its importance as the building block for most other credit derivatives, the mechanics of the credit default swap (CDS) are covered in considerable detail. A chapter is then devoted to the risk-management of CDS. The pricing and risk-management of forward starting CDS, the option on a CDS and constant maturity CDS are then covered. Part two of the book covers multi-name products and begins with the CDS index. The mechanics and pricing of the CDS index are set out in detail. A chapter on the pricing of options on the CDS index follows. Much of part two of the book is then devoted to the pricing and risk-management of single tranche CDOs. After discussing the Gaussian copula model and the numerical challenge of building the portfolio loss distribution, several chapters are devoted to the subject of modelling the correlation skew. This includes a detailed discussion of base correlation, copula-based skew models and dynamic correlation modelling. Practical and accessible, Modelling Single-name and Multi-name Credit Derivatives does not assume any previous knowledge of credit derivatives. Products are explained in detail as are the requirements of any pricing model. While the book is undoubtedly mathematical, the emphasis is on building intuition, especially regarding the risk sensitivities of the product. Issues such as model requirements, model calibration and stability are addressed. Attention is paid to the need for optimising the computationally efficiency of the implementation, and detailed algorithms are presented which are simple for the reader to convert into their preferred programming language.
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0470519282
ISBN-13
9780470519288
eBay Product ID (ePID)
64501277
Product Key Features
Number of Pages
512 Pages
Language
English
Publication Name
Modelling Single-Name and Multi-Name Credit Derivatives
Publication Year
2008
Subject
Investments & Securities / Derivatives, Finance / General
Type
Textbook
Subject Area
Business & Economics
Series
The Wiley Finance Ser.
Format
Hardcover
Dimensions
Item Height
1.3 in
Item Weight
35.6 Oz
Item Length
9.9 in
Item Width
6.9 in
Additional Product Features
Intended Audience
Scholarly & Professional
LCCN
2008-019031
Series Volume Number
545
Illustrated
Yes
Lc Classification Number
Hg6024.A3
Copyright Date
2008
Item description from the seller
Business seller information
Expert Trading Limited
John Boyer
9220 Rumsey Rd
Ste 101
21045-1956 Columbia, MD
United States
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Jessup, Maryland, United States
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Hermoso libro..!!!!!.. Muy bien cuidado e impecable empaquetado para envío. Realmente vale cada dólar gastado en el. Manejo y envío muy profesional. Excelente vendedor. Lo recomiendo por la calidad de sus productos, los precios, la comunicación sobre el desarrollo de mi orden y el manejo y envio. Gran experiencia de compra con este vendedor.
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