E-Book, Englisch, 255 Seiten, eBook
Ammann Credit Risk Valuation
2. Auflage 2001
ISBN: 978-3-662-06425-2
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
Methods, Models, and Applications
E-Book, Englisch, 255 Seiten, eBook
Reihe: Mathematics and Statistics (R0)
ISBN: 978-3-662-06425-2
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
1. Introduction.- 2. Contingent Claim Valuation.- 3. Credit Risk Models.- 4. A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.- 5. A Hybrid Pricing Model for Contingent Claims with Credit Risk.- 6. Pricing Credit Derivatives.- 7. Conclusion.- A. Useful Tools from Martingale Theory.- A.1 Probabilistic Foundations.- A.2 Process Classes.- A.3 Martingales.- A.4 Brownian Motion.- A.5 Stochastic Integration.- A.6 Change of Measure.- References.- List of Figures.- List of Tables.
