Direct access to content

EDHEC Business School

Version
Française

Advanced research

Master of Science in Capital Markets

You are here : MSc in Capital Markets > News > EDHEC News

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.

Published by Wiley, this book presents an up-to-date, comprehensive, accessible and practical guide to the models used to price and risk-manage credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners.

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

[ Top of the page ]

Programmes : Theseus-EDHEC MBA - EDHEC Grande Ecole - Master in Management - MSc in Finance - MSc in Capital Markets - MSc in Corporate Finance - MSc in Risk and Asset Management - MSc in Management Control - MSc in Strategic Management - MSc in Marketing Management - Bachelor ESPEME - PhD in Finance
Executive Education : EDHEC Executive - Executive MBA - IMARISC - Cycle Supérieur de Management (CSM) - CEVE (BADGE CIF, Conseil en Investissements financiers) - Séminaires - Intras - EDHEC Asset Management Education
EDHEC Corporate : Discover EDHEC - History - Campuses - Recruitment - Media - Research Centres - Chairs - EDHEC Foundation
Contact : Contact us