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Credit risk modeling with affine processes
Language
English
English
Book
Paperback
This is a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Norma...
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Libristo code: 01967703
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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.
About the book
Full name
Credit risk modeling with affine processes
Author
Darrel Duffie
Language
English
English
Binding
Book - Paperback
Date of issue
2004
Number of pages
58
EAN
9788876421389
ISBN
8876421386
Libristo code
01967703
Publishers
Springer, Berlin
Dimensions
170 x 240
