Credit Derivatives Pricing Models - Mode
β P.J. SCHONBUCHER
π Library
π
2003
π JOHN WILEY AND SONS LTD
π English
β¦ LIBER β¦
π
Pricing Derivative Credit Risk
β Scribed by Dr. Manuel Ammann (auth.)
- Publisher
- Springer Berlin Heidelberg
- Year
- 1999
- Tongue
- English
- Leaves
- 238
- Series
- Lecture Notes in Economics and Mathematical Systems 470
- Category
- Library
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No coin nor oath required. For personal study only.
β¦ Synopsis
This book presents new approaches to valuing derivative securities with credit risk, focussing 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.
β¦ Table of Contents
Front Matter....Pages I-XII
Introduction....Pages 1-11
Contingent Claim Valuation....Pages 13-45
Review of Credit Risk Models....Pages 47-74
A Firm Value Pricing Model for Derivatives with Counterparty Default Risk....Pages 75-112
A Hybrid Pricing Model for Contingent Claims with Credit Risk....Pages 113-146
A Compound Pricing Approach for Credit Derivatives....Pages 147-164
Conclusion....Pages 165-168
Back Matter....Pages 169-232
β¦ Subjects
Finance/Investment/Banking; Quantitative Finance
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