The following text field will produce suggestions that follow it as you type.

Loading Inventory...

Coles

Levy Processes in Credit Risk by Wim Schoutens, Hardcover | Indigo Chapters

From Wim Schoutens

Current price: $182.00
Levy Processes in Credit Risk by Wim Schoutens, Hardcover | Indigo Chapters
Levy Processes in Credit Risk by Wim Schoutens, Hardcover | Indigo Chapters

Coles

Levy Processes in Credit Risk by Wim Schoutens, Hardcover | Indigo Chapters

From Wim Schoutens

Current price: $182.00
Loading Inventory...

Size: 20.3 x 235 x 15.04

Buy OnlineGet it at Coles
*Product information may vary - to confirm product availability, pricing, shipping and return information please contact Coles
This book is an introductory guide to using Lévy 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 Lévy 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 Lévy 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. | Levy Processes in Credit Risk by Wim Schoutens, Hardcover | Indigo Chapters

More About Coles at Village Green Shopping Centre

Find everything in-store including new, used and children’s books, music, movies, games and toys. Visit Coles today to find the perfect gift, or a novel for yourself. COVID-19 UPDATE: Open | Regular Centre Hours

Powered by Adeptmind