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作者 Ammann, Manuel, 1970-
書名 Pricing derivative credit risk [electronic resource] / Manuel Ammann
出版項 Berlin ; New York : Springer, ©1999
國際標準書號 9783662223307 (electronic bk.)
3662223309 (electronic bk.)
book jacket
說明 1 online resource (xii, 228 pages) : illustrations
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
系列 Lecture notes in economics and mathematical systems, 0075-8442 ; 470
Lecture notes in economics and mathematical systems ; 470. 0075-8442
附註 Includes bibliographical references (p. [211]-219) and index
Use copy Restrictions unspecified star MiAaHDL
Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL
Acknowledgements -- Preface -- Introduction -- Contingent Claim Valuation -- Review of Credit Risk Models -- Firm Value Model -- Hybrid Model -- Credit Derivatives -- Conclusion -- Proofs -- Stochastic Utilities -- References -- Index -- List of Figures -- List of Tables
This book presents new approaches to valuing derivative securities with credit risk, focussing 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
Description based on print version record
鏈接 Print version: (DLC) 99024859 (OCoLC)40964961
主題 Derivative securities -- Prices -- Mathematical models
Credit -- Mathematical models
Risk -- Mathematical models
Kredietverzekering. gtt
Risicoanalyse. gtt
Wiskundige modellen. gtt
Prijstheorie. gtt
Derivaten (financiën) gtt
Zinsstrukturtheorie. swd
Derivat <Wertpapier> swd
Kreditrisiko. swd
Messung. swd
Credit -- Mathematical models. fast (OCoLC)fst00882543
Derivative securities -- Prices -- Mathematical models. fast (OCoLC)fst00891028
Risk -- Mathematical models. fast (OCoLC)fst01098126
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