Marek Capiński,
Tomasz Zastawniak
Credit Risk
Gebonden Engels 2016 9781107002760Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.
Specificaties
ISBN13:9781107002760
Taal:Engels
Bindwijze:Gebonden
Aantal pagina's:202
Uitgever:Cambridge University Press
Serie:Mastering Mathematic
Lezersrecensies
Wees de eerste die een lezersrecensie schrijft!
Inhoudsopgave
Preface; 1. Structural models; 2. Hazard function model and no arbitrage; 3. Defaultable bond pricing with hazard function; 4. Security pricing with hazard function; 5. Hazard process model; 6. Security pricing with hazard process; Appendix; Selected literature; Index.
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