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Credit Risk: Mastering Mathematical Finance

Autor Marek Capiński, Tomasz Zastawniak
en Limba Engleză Paperback – 13 noi 2016
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.
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Specificații

ISBN-13: 9780521175753
ISBN-10: 0521175755
Pagini: 201
Ilustrații: 6 b/w illus.
Dimensiuni: 152 x 227 x 10 mm
Greutate: 0.35 kg
Editura: Cambridge University Press
Colecția Cambridge University Press
Seria Mastering Mathematical Finance

Locul publicării:Cambridge, United Kingdom

Cuprins

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.

Notă biografică


Descriere

This master's-level introduction to mainstream credit risk modelling balances rigorous theory with real-world, post-credit crisis examples.