 Credit Derivatives Pricing Models: Models, Pricing and Implementation
ISBN: 978-0-470-84291-1
Hardcover
396 pages
July 2003
US $155.00
 Add to Cart
This price is valid for United States. Change location to view local pricing and availability. This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 5-6 days delivery time. The book is not returnable.
Other Available Formats: E-Book
|
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.
Share This
