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.

N� de ref. del art�culo 5842662

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Detalles bibliogr�ficos

T�tulo

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

Editor

John Wiley and Sons

Fecha de publicaci�n

2009

Idioma

Ingl�s

ISBN 10

0470519282

ISBN 13

9780470519288

Encuadernaci�n

Encuadernaci�n de tapa dura

Estado

Poor

Estado de la sobrecubierta

Sobrecubierta no Incluida

Peso

1100 gramos

Cat�logos de vendedores

Economics

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Sinopsis

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.

Acerca del autor

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.

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