Modelling Single-name and Multi-name Credit Derivatives
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This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.
Buy Both and Save 25%!
Modelling Single-name and Multi-name Credit Derivatives (US $140.00)
-and- An Introduction to Equity Derivatives: Theory and Practice, 2nd Edition (US $65.00)
Total List Price: US $205.00
Discounted Price: US $153.75 (Save: US $51.25)