Dominic O'Kane

Published titles in this catalogue:

Reviews

Shelf notes for catalogue titles by this author.

Still the deep bench text for classical credit-derivatives modelling
Modelling Single-name and Multi-name Credit Derivatives
Dense, dealer-era quant manual on CDS through tranches—essential lineage reading if not a live map of 2025 flow.

Classic

Modelling Single-name and Multi-name Credit Derivatives

Dominic O'Kane · 2008 · John Wiley & Sons

Institutional quant reference on single-name CDS, indices, tranches, and portfolio credit—written from a pre-crisis dealer desk vantage that still shapes how correlation and skew are discussed, even where post-2008 conventions and liquidity have moved on.

Derivatives
Quantitative finance
Credit