{"product_id":"stochastic-and-copula-models-for-chao-meng-9783639212570","title":"Stochastic and Copula Models for Credit Derivatives","description":"We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, as well as the large-N behavior, for a homogeneous portfolio governed by the one-factor Gaussian copula. A Poisson-mixture model is also investigated in a similar vein. Relevant simulations are presented.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Chao Meng\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3639212576\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783639212570\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e VDM Verlag\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 02\/02\/2010\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 100\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.35lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.00h x 6.00w x 0.24d","brand":"Chao Meng","offers":[{"title":"Paperback","offer_id":48113844027647,"sku":"9783639212570","price":52.92,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_d21136fc-a64d-4c74-a236-7884771a326f.jpg?v=1769617533","url":"https:\/\/www.whiterainbookhouse.com\/products\/stochastic-and-copula-models-for-chao-meng-9783639212570","provider":"WR Book House","version":"1.0","type":"link"}