QUANTITATIVE TECHNIQUES
for Credit Derivatives
Readings
Recommended texts for pre-reading:
A
Generic One-Factor Levy Model for Pricing Synthetic CDO
Break
on Through to the Single Side
Pricing
Credit Default Swaps under Levy Models
Single
Name Credit Default Swaptions Meet Single Side Jump Models
Hull, John C: Options, Futures and Other Derivatives (Published by Prentice Hall)
Following the course further readings will be available from LFS library
If you don't already have it, get the reader here:
