Credit Correlation

1. Introduction and Context
Youssef Elouerkhaoui

Part I. Theoretical Tools

2. Mathematical Fundamentals
Youssef Elouerkhaoui

3. Expectations in the Enlarged Filtration
Youssef Elouerkhaoui

4. Copulas and Conditional Jump Diffusions
Youssef Elouerkhaoui

Part II. Correlation Models: Practical Implementation

5. Correlation Demystified: A General Overview
Youssef Elouerkhaoui

6. Correlation Skew: A Black-Scholes Approach
Youssef Elouerkhaoui

7. An Introduction to the Marshall-Olkin Copula
Youssef Elouerkhaoui

8. Numerical Tools: Basket Expansions
Youssef Elouerkhaoui

9. Static Replication
Youssef Elouerkhaoui

10. The Homogeneous Transformation
Youssef Elouerkhaoui

11. The Asymptotic Homogeneous Expansion
Youssef Elouerkhaoui

12. The Asymptotic Expansion
Youssef Elouerkhaoui

13. CDO-Squared: Correlation of Correlation
Youssef Elouerkhaoui

14. Second Generation Models: From Flat to Correlation Skew
Youssef Elouerkhaoui

15. Third Generation Models: From Static to Dynamic Models
Youssef Elouerkhaoui

Part III. Advanced Topics in Pricing and Risk Management

16. Pricing Path-Dependent Credit Products
Youssef Elouerkhaoui

17. Hedging in Incomplete Markets
Youssef Elouerkhaoui

18. Min-Variance Hedging with Carry
Youssef Elouerkhaoui

19. Correlation Calibration with Stochastic Recovery
Youssef Elouerkhaoui

Part IV. The Next Challenge

20. New Frontiers in Credit Modelling: The CVA Challenge
Youssef Elouerkhaoui

Keywords: Finance, Financial Services, Quantitative Finance