Chapman £ Hall/CRC FINANCIAL MATHEMATICS SERIES Stochastic Financial Models Douglas Kennedy Trinity College Cambridge, UK CRC Press Taylor & Francis...

Cover -- Half-title -- Title -- Copyright -- Dedication -- Contents -- Preface -- Acknowledgements -- 1 A primer on collateralised debt obligations -- 1.1 Introduction -- 1.2 Securitisation and tranching -- 1.3 Credit derivative products -- 1.3.1 Credit default swaps (CDSs) -- 1.3.1.1 Forward...

Credit derivatives have enjoyed explosive growth in the last decade, particularly synthetic Collateralised Debt Obligations (synthetic CDOs). This book describes the state-of-the-art in quantitative and computational modelling of CDOs. Beginning with an overview of the structured finance...