Elouerkhaoui, Youssef
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
Nyckelord: Finance, Financial Services, Quantitative Finance
- Författare
- Elouerkhaoui, Youssef
- Utgivare
- Springer
- Utgivningsår
- 2017
- Språk
- en
- Utgåva
- 1
- Serie
- Applied Quantitative Finance
- Sidantal
- 24 sidor
- Kategori
- Ekonomisk
- Format
- E-bok
- eISBN (PDF)
- 9783319609737
- Tryckt ISBN
- 978-3-319-60972-0