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Levy Processes in Credit Risk
Hardback

Levy Processes in Credit Risk

$470.99
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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.

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MORE INFO
Format
Hardback
Publisher
John Wiley and Sons Ltd
Country
United States
Date
24 July 2009
Pages
200
ISBN
9780470743065

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.

Read More
Format
Hardback
Publisher
John Wiley and Sons Ltd
Country
United States
Date
24 July 2009
Pages
200
ISBN
9780470743065