Credit derivatives pricing models : models, pricing, and implementation
by
Schonbucher, Philipp J.
Title
:
Credit derivatives pricing models : models, pricing, and implementation
Author
:
Schonbucher, Philipp J.
ISBN
:
9780470842911
Personal Author
:
Schonbucher, Philipp J.
Publication Information
:
Chichester ; Hoboken, NJ : Wiley, 2003.
Physical Description
:
xxi, 375 p. : ill. ; 25 cm.
Series
:
Wiley finance series
Series Title
:
Wiley finance series
Contents
:
Machine derived contents note: Preface. -- Acknowledgements. -- Abbreviations. -- Notation. -- 1. Introduction. -- 2. Credit Derivatives: Overview and Hedge-Based Pricing. -- 3. Credit Spreads and Bond Price-Based Pricing. -- 4. Mathematical Background. -- 5. Advanced Credit Spread Models. -- 6. Recovery Modelling. -- 7. Implementation of Intensity-Based Models. -- 8. Credit Rating Models. -- 9. Firm Value and Share Price-Based Models. -- 10. Models for Default Correlation. -- Bibliography. -- Index.
Subject Term
:
Credit derivatives.
Credit derivatives -- Prices.
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| IIEMSA | General Books | 33168025526597 | 332.645 S371C 2003 | 1 |