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Showing results by Andrew J O Rennie

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  • The Oxford Handbook of Credit Derivatives
    The Oxford Handbook of Credit Derivatives (English, Paperback) Alexander Lipton

    Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation.

    $50.41 $58.00
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  • The Oxford Handbook of Credit Derivatives
    The Oxford Handbook of Credit Derivatives (English, Hardback) Alexander Lipton

    Provides a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. It covers statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation.

    $213.36
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  • Credit Correlation: Life After Copulas
    Credit Correlation: Life After Copulas (English, Hardback) Andrew J. O. Rennie

    The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. This title presents both the top-down and bottom-up approaches for describing the dynamics of credit baskets.

    $127.67
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  • Financial Calculus
    Financial Calculus (English, Hardback) Martin W. Baxter, Andrew J. O. Rennie

    A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

    $76.92 $103.00
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