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Pricing Derivative Credit Risk: v. 470 (Lecture Notes in Economics and Mathematical Systems) - Softcover
Synopsis
This text presents approaches to valuing derivative securities with credit risk, focusing on options and forward contracts subject to counterparty default risk, but also treating options on credit risky bonds and credit derivatives. The text provides detailed descriptions of the state of the art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
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Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems)
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Pricing Derivative Credit Risk: v. 470 (Lecture Notes in Economics and Mathematical Systems)
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Springer-Verlag Berlin and Heidelberg GmbH and Co. K, 1999
ISBN 10: 3540657533
ISBN 13: 9783540657538
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Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems)
Published by
Springer, 1999
ISBN 10: 3540657533
ISBN 13: 9783540657538
Used
Soft cover
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Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems)
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Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems, 470, Band 470)
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