Title Credit derivatives pricing models : models, pricing and implementation / Philipp J Schonbucher

Published Chichester ; Hoboken, NJ : Wiley, 2003

Copies

Location	Call no.	Vol.	Availability
MELB	332.601 Sch/Cdp		AVAILABLE

Description xxi, 375 pages : illustrations ; 25 cm Series Wiley finance series Wiley finance series. Contents Machine derived contents note: Preface. -- Acknowledgements. -- Abbreviations. -- Notation. -- 1. Introduction. -- 2. Credit Derivatives: Overview and Hedge-Based Pricing. -- 3. Credit Spreads and Bond Price-Based Pricing. -- 4. Mathematical Background. -- 5. Advanced Credit Spread Models. -- 6. Recovery Modelling. -- 7. Implementation of Intensity-Based Models. -- 8. Credit Rating Models. -- 9. Firm Value and Share Price-Based Models. -- 10. Models for Default Correlation. -- Bibliography. -- Index Bibliography Includes bibliographical references and index Subject Derivative securities -- Prices -- Mathematical models. Credit -- Mathematical models. Risk -- Mathematical models. Default (Finance) -- Mathematical models. Financial securities -- Mathematical models Derivative securities. Credit derivatives. Credit -- Management. Risk management. Financial securities LC no. 2004298895 ISBN 0470842911

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