| Credit Risk Modeling with Affine Processes Contributor(s): Duffie, Darrel (Author) |
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ISBN: 8876421386 ISBN-13: 9788876421389 Publisher: Edizioni Della Normale OUR PRICE: $28.45 Product Type: Paperback Published: October 2004 |
| Additional Information |
| BISAC Categories: - Mathematics | Game Theory - Mathematics | Probability & Statistics - General |
| Dewey: 519 |
| Series: Publications of the Scuola Normale Superiore |
| Physical Information: 58 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: This is a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Normale in Pisa. The objective is to combine an orientation to credit-risk modeling (emphasizing the valuation of corporate debt and credit derivatives) with an introduction to the analytical tractability and richness of affine state processes. This is not a general survey of either topic, but rather is designed to introduce researchers with some background in mathematics to a useful set of modeling techniques and an interesting set of applications. |