Credit risk modeling with affine processes

von Darrel Duffie

58 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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.

• Reihe: Publications of the Scuola Normale Superiore
• ISBN: 9788876421389
• Sprache: Englisch
• Erscheinungsdatum: 01.10.2004
• Genre: Wirtschaft/Volkswirtschaft
• Verlag: Edizioni della Normale