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Credit Risk Modeling with Affine Processes (2004)
Credit Risk Modeling with Affine Processes (2004)
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ISBN 9788876421389
- Published
- Oct 2004
- Language
- English
$31.44
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About this book
This is a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Normale in Pisa. The objective is to combine an orientation to credit-risk modeling (emphasizing the valuation of corporate debt and credit derivatives) with an introduction to the analytical tractability and richness of affine state processes. This is not a general survey of either topic, but rather is designed to introduce researchers with some background in mathematics to a useful set of modeling techniques and an interesting set of applications.
Specifications
PublishedOct 1, 2004
ISBN-108876421386
ISBN-139788876421389
LanguageEnglish
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