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Credit Correlation

Overview of attention for book
Cover of 'Credit Correlation'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction and Context
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    Chapter 2 Mathematical Fundamentals
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    Chapter 3 Expectations in the Enlarged Filtration
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    Chapter 4 Copulas and Conditional Jump Diffusions
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    Chapter 5 Correlation Demystified: A General Overview
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    Chapter 6 Correlation Skew: A Black-Scholes Approach
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    Chapter 7 An Introduction to the Marshall-Olkin Copula
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    Chapter 8 Numerical Tools: Basket Expansions
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    Chapter 9 Static Replication
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    Chapter 10 The Homogeneous Transformation
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    Chapter 11 The Asymptotic Homogeneous Expansion
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    Chapter 12 The Asymptotic Expansion
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    Chapter 13 CDO-Squared: Correlation of Correlation
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    Chapter 14 Second Generation Models: From Flat to Correlation Skew
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    Chapter 15 Third Generation Models: From Static to Dynamic Models
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    Chapter 16 Pricing Path-Dependent Credit Products
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    Chapter 17 Hedging in Incomplete Markets
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    Chapter 18 Min-Variance Hedging with Carry
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    Chapter 19 Correlation Calibration with Stochastic Recovery
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    Chapter 20 New Frontiers in Credit Modelling: The CVA Challenge
Attention for Chapter 3: Expectations in the Enlarged Filtration
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