Levy Processes in Credit Risk (The Wiley Finance Series)

Levy Processes in Credit Risk (The Wiley Finance Series)

An introductory guide to using Levy processes for credit risk modeling This introductory guide to Levy processes covers all types of credit derivatives, from the single-name vanilla derivatives to more complex structured credit risk products. It refines credit risk modeling with jump processes, a vital revision for today’s tumultuous credit market. Readers will learn how the classical models can be improved with Levy processes. The book uses real market data to analyze and illustrate deri

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