Credit risk modeling with affine processes

書誌事項

Credit risk modeling with affine processes

Darrell Duffie

(Pubblicazioni della Classe di scienze / Scuola Normale Superiore, . Cattedra galileiana)

Scuola Normale Superiore Pubblicazioni della Classe di Scienze, 2004

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注記

Includes bibliographical references (p. [51]-58)

内容説明・目次

内容説明

This is a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Normale in Pisa. The objective is to combine an orientation to credit-risk modeling (emphasizing the valuation of corporate debt and credit derivatives) with an introduction to the analytical tractability and richness of affine state processes. This is not a general survey of either topic, but rather is designed to introduce researchers with some background in mathematics to a useful set of modeling techniques and an interesting set of applications.

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詳細情報

  • NII書誌ID(NCID)
    BA72943885
  • ISBN
    • 8876421386
  • 出版国コード
    it
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Pisa
  • ページ数/冊数
    58 p.
  • 大きさ
    24 cm
  • 親書誌ID
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