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Levy processes in credit risk de W Schoutens

Levy processes in credit risk: The Wiley Finance Series

Autor W Schoutens
en Limba Engleză Hardback – 23 iul 2009
Levy Processes in Credit Risk is an introductory guide to using Levy processes for credit risk modelling, covering all types of credit derivatives: from the single name vanillas such as CDSs right through to structured credit risk products such as CPPIs and CPDOs.
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Specificații

ISBN-13: 9780470743065
ISBN-10: 0470743069
Pagini: 200
Dimensiuni: 160 x 234 x 23 mm
Greutate: 0.43 kg
Ediția:New.
Editura: Wiley
Seria The Wiley Finance Series

Locul publicării:Chichester, United Kingdom

Public țintă

Quantitative Analysts

Notă biografică

Wim Schoutens (Leuven, Belgium) is a research professor in financial engineering in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work in the banking industry. Wim is the author of Lévy Processes in Finance and co-editor of Exotic Option Pricing and Advanced Lévy Models both published by Wiley. He teaches at 7city Learning and London Financial Studies. He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance and Review of Derivatives Research. Jessica Cariboni (Ispra, Italy) has a PhD in applied statistics from the Catholic University of Leuven, Belgium. She was a junior quantitative analyst at Nextra Investment Management. She is currently a functionary of the European Commission and researcher at the European Commission DG-Joint Research Centre, Ispra, Italy. She is also co-author of the book Global Sensitivity Analysis: The Primer published by Wiley.

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