
Credit derivatives pricing models : models, pricing, and implementation
Title:
Credit derivatives pricing models : models, pricing, and implementation
Author:
Schonbucher, Philipp J.
ISBN:
9780470842911
Personal Author:
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.