Mathematical Fundamentals

Part of the Applied Quantitative Finance book series (AQF)


In this chapter, we present the essential mathematical tools needed in the modelling of portfolio credit derivative products. This includes: doubly-stochastic Poisson processes, also known as Cox processes; point processes and their intensities, on some given filtration; and copula functions.


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© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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