Pricing Derivative Credit Risk: Manuel Ammann - Couverture souple

Ammann, M.

 
9783540657538: Pricing Derivative Credit Risk: Manuel Ammann
Couverture souple
ISBN 10 : 3540657533 ISBN 13 : 9783540657538
Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1999

Synopsis

This text presents approaches to valuing derivative securities with credit risk, focusing on options and forward contracts subject to counterparty default risk, but also treating options on credit risky bonds and credit derivatives. The text provides detailed descriptions of the state of the art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Date d'édition
1999
Langue
anglais
ISBN 10 
3540657533
ISBN 13 
9783540657538
Reliure
Broché
Nombre de pages
242
Coordonnées du fabricant
non disponible
Personne responsable
non disponible