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Credit risk : modeling, valuation and hedging / Tomasz R. Bielecki, Marek Rutkowski.

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Author/Creator:
Bielecki, Tomasz R., 1955-
Language:
English.
Publication date:
2004
Imprint:
Corrected 2nd printing. - Berlin ; New York : Springer, c2004.
Format:
  • Book
  • xviii, 501 p. ; 25 cm.
Note:
Originally published 2002.
Bibliography:
Includes bibliographical references ([477]-494) and index.
Contents:
  • Structural approach. Introduction to credit risk ; Corporate debt ; First-passage-time models
  • Hazard processes. Hazard function of a random time ; Hazard process of a random time ; Martingale hazard process ; Case of several random times
  • Reduced-form modeling. Intensity-based valuation of defaultable claims ; Conditionally independent defaults ; Dependent defaults ; Markov chains ; Markovian models of credit migrations ; Heath-Jarrow-Morton type models ; Defaultable market rates ; Modeling of market rates.
Contributor:
Rutkowski, Marek, 1952-
Series:
Springer finance.
Subjects:
ISBN:
9783540675938
3540675930

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