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EDHEC affiliated Professor Dominic O'Kane publishes a new book on Credit Derivative modelling
Finance
Published on August 27, 2008
Dominic O'Kane, affiliated Professor of Finance at EDHEC Business School has released a new book entitled Modelling Single-Name and Multi-Name Credit Derivatives.
In the past four to five years, there have of course been important developments in the credit derivatives market and Dominic O'Kane pays particular attention to these developments within his book. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity credit default swap (CDS), portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs. The book is divided into two parts, the first part covers singlename credit derivatives and the second one covers multi-name credit derivatives.
Dominic O'Kane holds a doctorate in theoretical physics from the University of Oxford. He was previously an executive director at Lehman Brothers in London, where he headed the fixed-income quantitative research team. He has also taught in the finance master's programme at the University of Oxford and has been a postdoctoral researcher in the mathematics department at Imperial College in London.
Written by STEPHANE COLOMBANI
Date of update November 4, 2008
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