Credit Risk Modelling, Valuation and Hedging |
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| Author:
| Bielecki, Tomasz R.
Rutkowski, Marek |
| Series title: | Springer Finance Ser. |
| ISBN: | 978-3-540-67593-8 |
| Publication Date: | Nov 2001 |
| Publisher: | Springer Berlin / Heidelberg
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| Imprint: | Springer |
| Book Format: | Hardback |
| List Price: | USD $129.99 |
Book Description:
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Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. Here the author presents a comprehensive survey of past and recent developments in the area of credit risk research. One of its novel features is that it bridges the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented...
More DescriptionMathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. Here the author presents a comprehensive survey of past and recent developments in the area of credit risk research. One of its novel features is that it bridges the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural and the reduced-form approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of default term structures with several rating grades.