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Více informací o knize Stochastic and Copula Models for Credit Derivatives

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• Anotace
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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Probability & statistics

• Plný název: Stochastic and Copula Models for Credit Derivatives
• Autor: Chao Meng
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 100
• EAN: 9783639212570
• ISBN: 3639212576
• ID: 06829171
• Nakladatelství: VDM Verlag
• Hmotnost: 159 g
• Rozměry: 229 × 152 × 6 mm
• Datum vydání: 02. February 2010

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