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Mathematical Fundamentals

Chapter
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Part of the Applied Quantitative Finance book series (AQF)

Abstract

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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Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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