Name: Modelling single-name and multi-name credit derivatives
ISBN: 9780470519288

Book information

Authors: Dominic O'Kane verified identity
First published: 2008
Editions known: 5
Publishers: Wiley
Languages: eng
ISBN-13: 9780470519288, 9781119201960
Main topics: Derivatives Pricing
Also covers: Risk Management, Fixed Income, Options and Volatility
Related site topics: Fixed Income & Interest Rates, Options & Derivatives Pricing, Risk Management & Tail Risk, Volatility Modeling & Forecasting

Overview

Modelling single-name and multi-name credit derivatives is a book by Dominic O’Kane, first published in 2008. In this catalogue it is classified mainly under Derivatives Pricing, with secondary coverage of Risk Management, Fixed Income and Options and Volatility.

Audience and depth. The available metadata did not allow a mathematical difficulty estimate, so none is shown; treat the technical level as unknown.

Orientation. The theory-versus-practice balance could not be determined from metadata. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 78% and difficulty confidence is 0%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	64/100 confidence 78% Score 64.3/100. Strongest: quant_relevance 0.97, metadata_completeness 0.85; weakest: practical_applicability 0.00. Evidence: subjects:'derivative securities', openalex_topics:'volatility modeling'. Difficulty unknown (neutral technical_depth).
Mathematical difficulty	Unknown
Metadata quality	70%

Difficulty evidence (1 signal)

stochastic_processes matched in openalex_topics: “stochastic processes”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

A Unifying Approach for the Pricing of Debt Securities Topic similarity inferred similarity 0.48
Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure Topic similarity inferred similarity 0.48
On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution Related research area inferred similarity 0.46
Quantum Computational Algorithms for Derivative Pricing and Credit Risk in a Regime Switching Economy Topic similarity inferred similarity 0.42
Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees Topic similarity inferred similarity 0.41
CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning Related research area inferred similarity 0.40

Similar books

The Oxford handbook of credit derivatives inferred similarity 0.54
CREDIT DERIVATIVES AND STRUCTURED CREDIT TRADING inferred similarity 0.52
Derivatives and Internal Models inferred similarity 0.51
The xVA Challenge inferred similarity 0.49
Credit derivatives inferred similarity 0.49

Author profiles

Dominic O'Kane verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9781119201960) (search link; may be an affiliate link)

Relationship graph

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