By Dominic O'Kane
This e-book is up to date because it covers a number of the very important advancements that have happened within the credits derivatives marketplace long ago 4-5 years. those comprise the arriving of the CDS portfolio indices and the entire items according to those indices. when it comes to versions, this booklet covers the problem of modelling single-tranche CDOs within the presence of the correlation skew, in addition to the pricing and threat of more moderen items similar to consistent adulthood CDS, portfolio swaptions, CDO squareds, credits CPPI and credits CPDOs.
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Extra resources for Modelling Single-name and Multi-name Credit Derivatives (The Wiley Finance Series)
Modelling Single-name and Multi-name Credit Derivatives (The Wiley Finance Series) by Dominic O'Kane