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

O'Kane, Dominic

ISBN 10: 0470519282 / ISBN 13: 9780470519288

Published by Wiley, 2008

About this Item

Fast Free Shipping â A well-loved copy with text fully readable and cover pages intact. May display wear such as writing, highlighting, bends, folds or library marks. Still a complete and usable book. Supplemental items like CDs or access codes may not be included.

Seller Inventory # GWV.0470519282.A

Bibliographic Details

• Title: Modelling Single-name and Multi-name Credit Derivatives (The Wiley Finance Series)
• Publisher: Wiley
• Publication Date: 2008
• Language: English
• ISBN 10: 0470519282
• ISBN 13: 9780470519288
• Binding: Hardcover
• Condition: acceptable

About this title

Synopsis

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.

About the Author

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.