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Credit Risk - Marek Capiński, Tomasz Zastawniak

Credit Risk

Buch | Hardcover
202 Seiten
2016
Cambridge University Press (Verlag)
978-1-107-00276-0 (ISBN)
CHF 87,25 inkl. MwSt
This comprehensive and accessible introduction to modelling credit risk is tailored for master's students. It focuses on the two mainstream approaches, structural models and reduced form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with financial intuition, it features detailed worked examples and exercises.
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.

Marek Capiński is Professor of Applied Mathematics at AGH University of Science and Technology, Kraków. 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.

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.

Erscheinungsdatum
Reihe/Serie Mastering Mathematical Finance
Zusatzinfo 6 Line drawings, black and white
Verlagsort Cambridge
Sprache englisch
Maße 158 x 235 mm
Gewicht 450 g
Themenwelt Mathematik / Informatik Mathematik Angewandte Mathematik
Wirtschaft Betriebswirtschaft / Management Finanzierung
Betriebswirtschaft / Management Spezielle Betriebswirtschaftslehre Bankbetriebslehre
ISBN-10 1-107-00276-1 / 1107002761
ISBN-13 978-1-107-00276-0 / 9781107002760
Zustand Neuware
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