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.