Credit Risk
Part of Mastering Mathematical Finance
- Authors:
- Marek Capiński, AGH University of Science and Technology, Krakow
- Tomasz Zastawniak, University of York
- Date Published: November 2016
- availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
- format: Adobe eBook Reader
- isbn: 9781316862278
Find out more about Cambridge eBooks
Adobe eBook Reader
Other available formats:
Paperback, Hardback
Looking for an inspection copy?
Please email [email protected] to enquire about an inspection copy of this book
-
Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.
Read more- Develops universal fundamental skills that will not go out of date
- Written by experienced teachers and tailored specially for master's students
- Balances rigorous theory with practical application by featuring real-life credit risk examples
Customer reviews
Not yet reviewed
Be the first to review
Review was not posted due to profanity
×Product details
- Date Published: November 2016
- format: Adobe eBook Reader
- isbn: 9781316862278
- contains: 6 b/w illus.
- availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
Table of Contents
Preface
1. Structural models
2. Hazard function model and no arbitrage
3. Defaultable bond pricing with hazard function
4. Security pricing with hazard function
5. Hazard process model
6. Security pricing with hazard process
Appendix
Selected literature
Index.-
General Resources
Find resources associated with this title
Type Name Unlocked * Format Size Showing of
This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to lecturers whose faculty status has been verified. To gain access to locked resources, lecturers should sign in to or register for a Cambridge user account.
Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other lecturers may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.
Supplementary resources are subject to copyright. Lecturers are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.
If you are having problems accessing these resources please contact [email protected].
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email [email protected]
Register Sign in» Proceed
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.
Continue ×Are you sure you want to delete your account?
This cannot be undone.
Thank you for your feedback which will help us improve our service.
If you requested a response, we will make sure to get back to you shortly.
×