Credit Risk
Published on 24. November 2016
Book
Hardback
202 pages
978-1-107-00276-0 (ISBN)
Description
Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.
More details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
College/higher education
Illustrations
6 Line drawings, black and white
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 16 mm
Weight
454 gr
ISBN-13
978-1-107-00276-0 (9781107002760)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Marek Capinski | Tomasz Zastawniak
Credit Risk
E-Book
11/2016
Cambridge University Press
€35.49
Available for download
Marek Capinski | Tomasz Zastawniak
Credit Risk
Book
11/2016
Cambridge University Press
€54.30
Shipment within 15-20 days
Persons
Marek Capinski is Professor of Applied Mathematics at AGH University of Science and Technology, Krakow. His research interests include mathematical finance, corporate finance, and hydrodynamics. He has been teaching for over 35 years, has held visiting fellowships in Poland and the UK, and has published over fifty research papers and nine books. Tomasz Zastawniak is Chair in Mathematical Finance at the University of York. His research interests include mathematical finance, stochastic analysis, stochastic optimisation and convex analysis, and mathematical physics. He has previously taught at numerous institutions in Poland, the USA, Canada, and the UK, and has published over fifty research publications and eight books.
Content
Preface; 1. Structural models; 2. Hazard function model and no arbitrage; 3. Defaultable bond pricing with hazard function; 4. Security pricing with hazard function; 5. Hazard process model; 6. Security pricing with hazard process; Appendix; Selected literature; Index.