Reading Jonathan Edwards : an annotated bibliography in three parts, 1729-2005 / M.X. Lesser.

Format:

Book

Author/Creator:

Lesser, M. X.

Contributor:

Louis A. Duhring Fund.

Language:

English

Subjects (All):

Edwards, Jonathan, 1703-1758--Bibliography.

Edwards, Jonathan.

Edwards, Jonathan, 1703-1758.

Genre:

Bibliographies.

Physical Description:

xii, 691 pages ; 25 cm

Place of Publication:

Grand Rapids, Mich. : W.B. Eerdmans Pub. Co., [2008]

Summary:

This book is an introductory guide to using Lévy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), Constant Proportion Portfolio Insurances (CPPIs) and Constant Proportion Debt Obligations (CPDOs) as well as new advanced rating models for Asset Backed Securities (ABSs). Jumps and extreme events are crucial stylized features, essential in the modelling of the very volatile credit markets - the recent turmoil in the credit markets has once again illustrated the need for more refined models. Readers will learn how the classical models (driven by Brownian motions and Black-Scholes settings) can be significantly improved by using the more flexible class of Lévy processes. By doing this, extreme event and jumps can be introduced into the models to give more reliable pricing and a better assessment of the risks. The book brings in high-tech financial engineering models for the detailed modelling of credit risk instruments, setting up the theoretical framework behind the application of Lévy Processes to Credit Risk Modelling before moving on to the practical implementation. Complex credit derivatives structures such as CDOs, ABSs, CPPIs, CPDOs are analysed and illustrated with market data.

Notes:

Includes bibliographical references (pages 481-612) and indexes.

Local Notes:

Acquired for the Penn Libraries with assistance from the Louis A. Duhring Fund.

ISBN:

9780802862433

0802862438

OCLC:

164570851