June 2010
Intermediate to advanced
176 pages
3h 30m
English
book
Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models
by Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
Content preview from Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models
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Notation and List of Symbols
Probabilities and expectations
• 
Risk-neutral probability.
Risk-neutral probability.• 
Risk-neutral expectation.
Risk-neutral expectation.• pX : Risk-neutral probability density function of the random variable X:
• ϕX : Risk-neutral characteristic function of the random variable X, namely the Fourier transform of the probability density function:
• hX: Risk-neutral intensity of the process X, namely the density of the absolutely continuous compensator of X:
• ϕ: Probability density function of the standard n-variate Gaussian distribution with correlation matrix C:
In particular for the case n = 1, 2 we define:
• Φ: Cumulative distribution function of the standard n-variate Gaussian distribution with correlation matrix C:
In particular, for the case n = 1, 2 we define:
• f: Probability density function of the ...
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