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Credit risk valuation : methods, models, and applications

Author: Manuel Ammann
Publisher: Berlin ; New York : Springer, ©2001.
Series: Springer finance.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Summary:

This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. The book provides detailed descriptions of  Read more...

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Document Type: Book
All Authors / Contributors: Manuel Ammann
ISBN: 3540678050 9783540678052
OCLC Number: 48786821
Notes: "Originally published as volume 470 in the series Lecture notes in economics and mathematical systems with the title Pricing derivative credit risk"--Title page verso.
Description: x, 255 pages : illustrations ; 24 cm.
Contents: 1. Introduction.- 2. Contingent Claim Valuation.- 3. Credit Risk Models.- 4. A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.- 5. A Hybrid Pricing Model for Contingent Claims with Credit Risk.- 6. Pricing Credit Derivatives.- 7. Conclusion.- A. Useful Tools from Martingale Theory.- A.1 Probabilistic Foundations.- A.2 Process Classes.- A.3 Martingales.- A.4 Brownian Motion.- A.5 Stochastic Integration.- A.6 Change of Measure.- References.- List of Figures.- List of Tables.
Series Title: Springer finance.
Responsibility: Manuel Ammann.

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