Levy processes in credit risk
Auteur :
Schoutens, Wim / Cariboni, Jessica
Éditeur :
John Wiley & Sons Inc
ISBN :
9780470743065
Date de publication :
24 juil. 2009
Dimensions :
23,5 x 15,9 x 2,0 cm
Poids :
426 g
Langue :
Anglais
Pays d'origine :
USA
Levy Processes in Credit Risk is an introductory guide to using Levy processes for credit risk modelling, covering all types of credit derivatives: from the single name vanillas such as CDSs right through to structured credit risk products such as CPPIs and CPDOs.