Modelling Single-Name and Multi-Name Credit Derivatives (The Wiley Finance Series)

Dominic O'kane

ISBN 10: 0470519282 / ISBN 13: 9780470519288

Editore: John Wiley and Sons, 2009

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This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Book contains pen & pencil markings. In poor condition, suitable as a reading copy. Dust jacket in good condition. Library sticker on front cover. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,1100grams, ISBN:9780470519288.

Codice articolo 5842662

Dati bibliografici

• Titolo: Modelling Single-Name and Multi-Name Credit Derivatives (The Wiley Finance Series)
• Editore: John Wiley and Sons
• Data di pubblicazione: 2009
• Lingua: Inglese
• ISBN 10: 0470519282
• ISBN 13: 9780470519288
• Rilegatura: Rilegato
• Condizione: Poor
• Condizione della sovraccoperta: sovraccoperta
• Peso: 1100 grammi
• Cataloghi dei venditori:
  • Economics

Descrizione articolo

Riassunto

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.

Informazioni sull?autore

Dominic O'Kane is an affiliated Professor of Finance at the French business school EDHEC which is based in Nice, France. Until May 2006, Dominic O'Kane was a managing director and ran the European Fixed Income Quantitative Research group at Lehman Brothers, the US investment bank. Dominic spent seven of his nine years at Lehman Brothers working as a quant for the credit derivatives trading desk.