Credit Risk

AvMarek Capiński,Tomasz Zastawniak

Häftad, Engelska, 2016

Del i serien Mastering Mathematical Finance

485 kr

Beställningsvara. Skickas inom 7-10 vardagar. Fri frakt över 249 kr.

Fler format och utgåvor

Inbunden

692 kr

Beskrivning

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.

Produktinformation

Utgivningsdatum:2016-11-14
Mått:152 x 227 x 10 mm
Vikt:330 g
Format:Häftad
Språk:Engelska
Serie:Mastering Mathematical Finance
Antal sidor:201
Förlag:Cambridge University Press
ISBN:9780521175753

Utforska kategorier

Mer om författaren

Marek Capiński is Professor of Applied Mathematics at AGH University of Science and Technology, Kraków. His research interests include mathematical finance, corporate finance, and hydrodynamics. He has been teaching for over 35 years, has held visiting fellowships in Poland and the UK, and has published over fifty research papers and nine books. Tomasz Zastawniak is Chair in Mathematical Finance at the University of York. His research interests include mathematical finance, stochastic analysis, stochastic optimisation and convex analysis, and mathematical physics. He has previously taught at numerous institutions in Poland, the USA, Canada, and the UK, and has published over fifty research publications and eight books.

Innehållsförteckning

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.