The item you selected is unavailable, but we found something similar.

Picture 1 of 1

Stock photo

Modelling Single-Name and Multi-Name Credit Derivatives, Hardcover by O'Kane,... - Picture 1 of 1

The Wiley Finance Ser.: Modelling Single-Name and Multi-name Credit Derivatives by Dominic O'Kane (2008, Hardcover)

5.01 product rating

Great Book Prices Store (300552)
96.8% positive feedback

Price:

$99.53

Free shipping

Estimated delivery Tue, May 7 - Fri, May 17

Returns:

14 days returns. Buyer pays for return shipping.

Condition:

Brand New

These include the arrival of the CDS portfolio indices and all of the products based on these indices.

About this product

Product Information

Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. 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. Divided into two parts, part one of this book covers single-name credit derivatives. Reflecting its importance as the building block for most other credit derivatives, the mechanics of the credit default swap (CDS) are covered in considerable detail. A chapter is then devoted to the risk-management of CDS. The pricing and risk-management of forward starting CDS, the option on a CDS and constant maturity CDS are then covered. Part two of the book covers multi-name products and begins with the CDS index. The mechanics and pricing of the CDS index are set out in detail. A chapter on the pricing of options on the CDS index follows. Much of part two of the book is then devoted to the pricing and risk-management of single tranche CDOs. After discussing the Gaussian copula model and the numerical challenge of building the portfolio loss distribution, several chapters are devoted to the subject of modelling the correlation skew. This includes a detailed discussion of base correlation, copula-based skew models and dynamic correlation modelling. Practical and accessible, Modelling Single-name and Multi-name Credit Derivatives does not assume any previous knowledge of credit derivatives. Products are explained in detail as are the requirements of any pricing model. While the book is undoubtedly mathematical, the emphasis is on building intuition, especially regarding the risk sensitivities of the product. Issues such as model requirements, model calibration and stability are addressed. Attention is paid to the need for optimising the computationally efficiency of the implementation, and detailed algorithms are presented which are simple for the reader to convert into their preferred programming language.

Product Identifiers

Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0470519282
ISBN-13
9780470519288
eBay Product ID (ePID)
64501277

Product Key Features

Author
Dominic O'kane
Publication Name
Modelling Single-Name and Multi-Name Credit Derivatives
Format
Hardcover
Language
English
Publication Year
2008
Series
The Wiley Finance Ser.
Type
Textbook
Number of Pages
512 Pages

Dimensions

Item Length
9.9in
Item Height
1.3in
Item Width
6.9in
Item Weight
35.6 Oz

Additional Product Features

Series Volume Number
545
Lc Classification Number
Hg6024.A3
Copyright Date
2008
Topic
Investments & Securities / Derivatives, Finance / General
Lccn
2008-019031
Intended Audience
Scholarly & Professional
Illustrated
Yes
Genre
Business & Economics

All listings for this product

item 1 Modelling Single-name and Multi-name Credit Derivatives - Hardcover - VERY GOOD
$75.48
Free shipping
item 2 Modelling Single-name and Multi-name..., Dominic O'Kane
$75.99
Free shipping
item 3 Modelling Single-Name and Multi-Name Credit Derivatives, Hardcover by O'Kane,...
$99.52
Free shipping
item 4 Modelling Single-Name and Multi-Name Credit Derivatives, Hardcover by O'Kane,...
$99.53
Free shipping
item 5 Modelling Single-Name And Multi-Name Credit Derivatives
$117.60
Free shipping
item 6 Modelling Single-name and Multi-name Credit Derivatives by Dominic O'Kane: New
$161.54
Free shipping
item 7 Modelling Single-name and Multi-name Credit Derivatives by Dominic O'Kane (Engli
$163.70
Free shipping

See all 8

5.0

5.0 out of 5 stars based on 1 product rating

1 product rating

1 users rated this 5 out of 5 stars
0 users rated this 4 out of 5 stars
0 users rated this 3 out of 5 stars
0 users rated this 2 out of 5 stars
0 users rated this 1 out of 5 stars

Most relevant reviews

5 out of 5 stars
by isurublueOct 06, 2010
In great conditon
This is great book for all those who are in financial engimeering, or financial math and is interested in credit derivatives. Worth your money.

Best Selling in Textbooks

See all

Current slide {CURRENT_SLIDE} of {TOTAL_SLIDES}- Best Selling in Textbooks

Desk Reference to the Diagnostic Criteria from DSM-5-TR by American Psychiatric Association (2022, Trade Paperback)
5.0 out of 5 stars based on 6 product ratings
$11.66 New
---- Used
PMBOK® Guide Ser.: Guide to the Project Management Body of Knowledge (PMBOK Guide) and the Standard for Project Management by Project Management Institute (2021, Trade Paperback)
4.9 out of 5 stars based on 7 product ratings
$18.79 New
$17.99 Used
Diagnostic and Statistical Manual of Mental Disorders DSM-5-TR by American Psychiatric Association (2022, Trade Paperback)
4.6 out of 5 stars based on 15 product ratings
$35.06 New
$34.00 Used
Self Heal by Design : The Role of Micro-organisms for Health by Barbara O'Neill (2018, Trade Paperback)
5.0 out of 5 stars based on 14 product ratings
$38.99 New
---- Used
Cognitive Behavior Therapy : Basics and Beyond by Judith S. Beck (2020, Hardcover)
5.0 out of 5 stars based on 4 product ratings
$18.95 New
$17.66 Used
NFPA 70® Handbook with Tabs : 2023 Edition by National Fire Protection Association (NFPA) (2022, Hardcover)
No ratings or reviews yet
$58.99 New
$50.00 Used
National Electrical Code 2023 by (NFPA) National Fire Protection Association (2022, Trade Paperback)
5.0 out of 5 stars based on 2 product ratings
$37.15 New
$29.99 Used

Save on Textbooks

Current slide {CURRENT_SLIDE} of {TOTAL_SLIDES}- Save on Textbooks

Pocket Reference to the Diagnostic Exam from DSM-5-TR
$11.66
Trending at $13.18
PMBOK A Guide to the Project Management Body of Knowledge 7th edition (Pb) 📋
$17.99
Trending at $34.20
Diagnostic and Statistical Manual of Mental Disorders DSM-5-TR by American...
$29.99
Trending at $40.00
Self Heal By Design : Author Barbara O'Neill (Sealed in Plastic) in hand 🦋
$36.99
Trending at $39.99
NFPA 70® Handbook with Tabs : 2023 Edition by National Fire Protection...
$58.99
Trending at $67.45
Designing Data-Intensive Applications : The Big Ideas Behind Reliable Brand New
$15.00
Trending at $18.95