Credit Derivatives Pricing Models Models, Pricing and Implementation

Name: Credit Derivatives Pricing Models Models, Pricing and Implementation
Price: 7.67 USD
Availability: InStock
ISBN: 9780470842911

ISBN-10: 0470842911

ISBN-13: 9780470842911

Edition: 2003

Authors: Philipp J. Schï¿½nbucher, Philipp J. Schï¿½nbucher

List price: $179.00

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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.

Book details

List price: $179.00
Copyright year: 2003
Publisher: John Wiley & Sons, Incorporated
Publication date: 6/13/2003
Binding: Hardcover
Pages: 384
Size: 6.97" wide x 10.00" long x 1.13" tall
Weight: 2.178
Language: English



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