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STOCHASTIC AND COPULA MODELS FOR CREDIT DERIVATIVES

 

Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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Rs. 3,651

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  • Product Description
 

We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, as well as the large-N behavior, for a homogeneous portfolio governed by the one-factor Gaussian copula. A Poisson-mixture model is also investigated in a similar vein. Relevant simulations are presented.

Product Specifications
SKU :COC39387
AuthorChao Meng
LanguageEnglish
BindingPaperback
Number of Pages100
Publishing Year2010-02-02T00:00:00.000
ISBN978-3639212570
Edition215 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-01-08 00:00:00