Product details
ISBN
9781107002760
Published
2016-11-24
Publisher
Cambridge University Press
Weight
450 gr
Height
235 mm
Width
158 mm
Thickness
13 mm
Age
P, U, 06, 05
Language
Product language
Engelsk
Format
Product format
Innbundet
Number of pages
202
Biographical note
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.
Innbundet /
2016
/ Engelsk
788,-
Lowest price in the last 30 days: 788,-
Levering 10-30 dager
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.
Read more
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.
Read more
This master's-level introduction to mainstream credit risk modelling balances rigorous theory with real-world, post-credit crisis examples.
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.
Read more
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.
Read more
This master's-level introduction to mainstream credit risk modelling balances rigorous theory with real-world, post-credit crisis examples.
Product details
ISBN
9781107002760
Published
2016-11-24
Publisher
Cambridge University Press
Weight
450 gr
Height
235 mm
Width
158 mm
Thickness
13 mm
Age
P, U, 06, 05
Language
Product language
Engelsk
Format
Product format
Innbundet
Number of pages
202