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Credit risk modeling with affine processes

Darrel Duffie
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      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.
      Format: Paperback / softback CONTRIBUTORS: Darrel Duffie EAN: 9788876421389 COUNTRY: Italy PAGES: WEIGHT: 0 g HEIGHT: 240 cm
      PUBLISHED BY: Birkhauser Verlag AG DATE PUBLISHED: 2004-10-01 CITY: GENRE: MATHEMATICS / Game Theory WIDTH: 170 cm SPINE:

      Book Themes:

      Game theory

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      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.
      Format: Paperback / softback CONTRIBUTORS: Darrel Duffie EAN: 9788876421389 COUNTRY: Italy PAGES: WEIGHT: 0 g HEIGHT: 240 cm
      PUBLISHED BY: Birkhauser Verlag AG DATE PUBLISHED: 2004-10-01 CITY: GENRE: MATHEMATICS / Game Theory WIDTH: 170 cm SPINE:

      Book Themes:

      Game theory

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      Be the first to write a review
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