O'Reilly logo

Mastering Credit Derivatives: A step-by-step guide to credit derivatives and structured credit, Second Edition by Andrew Kasapis

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Notes and references

Chapter 2

[biblio01_001]

 

1.

Mashall R, Naldi M. Extreme Events and Default Baskets: Working Paper, Columbia Graduate School of Business et Quantitative Credit Research. Lehman Brothers Inc; 2002

Chapter 3

1.

Black, Fischer and Scholes MS. Merton’s 1974 model in: The pricing of options and corporate liabilities – Journal of Political Economy; 1973. pp. 81, 637–54

2.

Jarrow and Turnbull. Pricing derivatives on financial securities subject to credit risk; 1995. pp. 53–85, vol.50

3.

O’Kane and Turnbull. Valuation and Risk-Management of Credit Default Swaps; 2003. Lehman Brothers

4.

Altman, Altman. High Yield Bond and Default Study, Salomon Smith Barney – U.S, Fixed Income High Yield Report; 2002.

5.

Hull and White. The general Hull-White ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required