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Credit Derivatives Pricing Models Models, Pricing and Implementation

ISBN-10: 0470842911
ISBN-13: 9780470842911
Edition: 2002
List price: $179.00 Buy it from $3.72
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Description: The purpose of this book is to provide a comprehensive overview of the state-of-the-art in credit risk modelling as applied to the pricing of credit derivatives.

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Book details

List price: $179.00
Copyright year: 2002
Publisher: John Wiley & Sons, Incorporated
Publication date: 6/13/2003
Binding: Hardcover
Pages: 396
Size: 7.00" wide x 10.00" long x 1.25" tall
Weight: 2.2
Language: English

The purpose of this book is to provide a comprehensive overview of the state-of-the-art in credit risk modelling as applied to the pricing of credit derivatives.

Preface
Acknowledgements
Abbreviations
Notation
Introduction
Credit Derivatives: Overview and Hedge-Based Pricing
Credit Spreads and Bond Price-Based Pricing
Mathematical Background
Advanced Credit Spread Models
Recovery Modelling
Implementation of Intensity-Based Models
Credit Rating Models
Firm Value and Share Price-Based Models
Models for Default Correlation
Bibliography
Index

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