Login

Schoutens, Wim

Levy Processes in Credit Risk

Schoutens, Wim - Levy Processes in Credit Risk, ebook

111,60€

Ebook, ePUB with Adobe DRM
ISBN: 9780470685068
DRM Restrictions

Printing60 pages with an additional page accrued every 13 hours, capped at 60 pages
Copy to clipboard10 excerpts

An introductory guide to using Levy processes for credit risk modeling

This introductory guide to Levy processes covers all types of credit derivatives, from the single-name vanilla derivatives to more complex structured credit risk products. It refines credit risk modeling with jump processes, a vital revision for today's tumultuous credit market. Readers will learn how the classical models can be improved with Levy processes. The book uses real market data to analyze and illustrate derivative structures and covers both the practical and theoretical underpinnings of Levy processes in credit risk modeling.

Wim Schoutens (Leuven, Belgium) is a Research Professor of Financial Engineering in the Department of Mathematics at the Catholic University of Leuven in Belgium. He is recognized as one of the world's leading authorities on Levy processes. Jessica Cariboni (Ispra, Italy) is a functionary at the European Commission and a researcher at the Institute for the Protection and Security of Citizens, where she specializes in applied statistics for antifraud.

Author(s)
 
Publisher
John Wiley and Sons, Inc.
Publication year
2009
Language
en
Edition
1
Page amount
200 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9780470685068
Printed ISBN
9780470743065

Similar titles