Levy Processes in Credit Risk

"Schoutens and Cariboni are two of a horrifyingly small number of authors who realize that something had to be done about credit modelling. Theirs won't be the final word on the subject but it's better than almost everything else that's been written."

Paul Wilmott, wilmott.com


“The book casts great light on the intricacies of structured products valuation at a time when credit jumps play a key role in the understanding of credit events.”

Guido Bichisao, Head of Financial Engineering and Advisory Services, European Investment Bank.


“Lévy processes represent a quantum leap over the continuous processes that
have previously been used in credit modeling.”

Peter Carr, Head of Quantitative Research, Bloomberg LP and Director of Master Program in Mathematical Finance, NYC.


"I recommend with pleasure the expert exposition of what real expertise has attained in an undoubtedly difficult yet critical arena of the financial markets. When such insight, intuition and intellectual perseverance offer leadership, it is foolhardy to look the other way. The book is must learn for all professionals."

Professor Dilip Madan, University of Maryland - Robert H. Smith School of Business