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Jessica Cariboni

Levy Processes in Credit Risk

Ebook (PDF Format)

Schoutens and Cariboni are two of a horrifyingly small number of authors who realize that something had to be done about credit modelling. Theirs won't be the final word on the subject but it's better than almost everything else that's been written. -Paul Wilmott, wilmott.com The book casts great light on the intricacies of structured products valuation at a time when credit jumps play a key role in the understanding of credit events. -Guido Bichisao, Head of Financial Engineering and Advisory Services, European Investment Bank Lévy processes represent a quantum leap over the continuous processes that have previously been used in credit model… Mehr

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Produktdetails


Weitere Autoren: Schoutens, Wim
  • ISBN: 978-0-470-74903-6
  • EAN: 9780470749036
  • Produktnummer: 13841137
  • Verlag: Wiley
  • Sprache: Englisch
  • Erscheinungsjahr: 2009
  • Seitenangabe: 200 S.
  • Plattform: PDF
  • Masse: 1'577 KB

Über den Autor


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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