.
 
.

Levy Processes in Credit Risk

Avtor:

.
Redna cena: 105,78 €
Predvideni rok dobave: 14-21 dni
.
.
.
Količina:  
.
Strošek dostave je enoten za celo Slovenijo in znaša 2,95 €, ne glede na količino in vrsto kupljenih izdelkov.

Številni izdelki imajo oznako "brezplačna dostava", kar pomeni, da v prmeru nakupa takšnega izdelka poštnine ne boste plačali. 

Več o dostavi
Emka.si omogoča naslednje načine plačila:
  • z gotovino ob prevzemu (velja le za fizične osebe),
  • s plačilno oziroma kreditno kartico (Mastercard, Visa, ActivaMaestro, Activa, Diners, American Express),
  • s storitvijo Moneta (Mobitel in Simobil)
  • Plačilo po predračunu (pravne osebe)
  • Račun z odlogom plačila (za javna podjetja)
Več o plačilih

Pri vsakem izdelku je naveden predviden rok dostave. Glede na to katere izdelke izberete, se vam pri oddaji naročila prikaže tudi končni predviden datum dobave vašega pakete.

Večino izdelkov dostavljamo iz lastne zaloge, zato so naši dobavni roki zelo kratki.

Ko vam bomo poslali paket boste o tem obveščeni tudi po emailu. V emailu bo navedena številka vašega paketa ter povezava do Pošte Slovenije, kjer boste lahko preverili natančen status dostave.

Več o dostavi

To je spletna cena
Shrani v seznam želja
.

.

Opis



A guide to using Levy processes for credit risk modeling. It covers various types of credit derivatives, from the single-name vanilla derivatives to complex structured credit risk products. It uses real market data to analyze and illustrate derivative structures and also covers the underpinnings of Levy processes in credit risk modeling.

This is 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. Wim Schoutens (Leuven, Belgium) is a Research Professor of Financial Engineering in the Department of Mathematics at the Catholic University of Leuven in Belgium. He is recognized as one of the world's leading authorities on Levy processes. Jessica Cariboni (Ispra, Italy) is a functionary at the European Commission and a researcher at the Institute for the Protection and Security of Citizens, where she specializes in applied statistics for antifraud.

I INTRODUCTION 1 An Introduction to Credit Risk 1.1 Credit Risk 1.2 Credit Risk Modeling 1.3 Credit Derivatives 1.4 Modeling Assumptions 2 An Introduction to L-evy Processes 2.1 Brownian Motion 2.2 L-evy Processes 2.3 Examples of L-evy Processes 2.4 Ornstein Uhlenbeck Processes II SINGLE NAME MODELING 3 Single Name Credit Derivatives 3.1 Credit Default Swaps 3.2 Credit Default Swap Forwards 3.3 Constant Maturity Credit Default Swaps 3.4 Options on CDS 4 Firm Value L-evy Models 4.1 The Merton Model 4.2 The Black-Cox Model with Constant Barrier 4.3 The L-evy First Passage Model 4.4 The Variance Gamma Model 4.5 One Sided L-evy Default Model 4.6 Dynamic Spread Generator Appendix A: Solution of the PDIE 5 Intensity L-evy Models 5.1 Intensity Models for Credit Risk 5.2 The Intensity OU-Model 5.3 Calibration of the Model on CDS Term Structures III MULTIVARIATE MODELING 6 Multivariate Credit Products 6.1 CDOs . 6.2 Credit Indices 7 CDOs 7.1 Introduction 7.2 The Gaussian One-Factor Model . 7.3 Generic One-Factor L-evy Model 7.4 Examples of L-evy Models 7.5 L-evy Base Correlation 7.6 Delta-Hedging CDO tranches 8 Multivariate Index Modeling 8.1 Black's Model 8.2 VG Credit Spread Model 8.3 Pricing Swaptions using FFT 8.4 Multivariate VG Model IV EXOTIC STRUCTURED CREDIT RISK PROD- UCTS 9 Credit CPPIs and CPDOs 9.1 Introduction 9.2 CPPIs 9.3 Gap Risk 9.4 CPDOs 10 Asset-Backed Securities 10.1 Introduction 10.2 Default models 10.3 Prepayment Models 10.4 Numerical Results Bibliography
.
.
.

O avtorju - Wim Schoutens

Obvestite me o novi knjigi tega avtorja

Želite, da vas po elektronski pošti obvestimo, ko izide nova knjiga ali ponatis katere od knjig tega avtorja?

DA - obveščajte me o novostih avtorja
.
.
.
.

Podrobnosti o izdelku

  • Obseg/št. strani: 200
  • Datum Izida:
  • Vezava: Trda
  • ISBN/EAN: 9780470743065
  • Mere izdelka vxš: 23,3 x 16,2 cm
  • Založba Wiley and Sons Ltd
  • Avtor:
  • Povprečna ocena:
    Ocena kupcev: 0
    (0)

Mnenja kupcev

  0  ocen:
5 zvezdice
0%
(0)
4 zvezdice
0%
(0)
3 zvezdice
0%
(0)
2 zvezdice
0%
(0)
1 zvezdica
0%
(0)
Povprečna ocena kupcev:
Ocena kupcev: 0
(0 ocen uporabnikov )
.
Ocenite izdelek s klikom na zvezdice:
 
.
.
.
.
.

Oznake kupcev o tem izdelku

Kliknite na posamezno oznako za prikaz vseh izdelkov označenih s to oznako:

Dodaj oznako:

Dodaj
.