Credit derivatives pricing models : models, pricing and implementation (Book, 2007) [WorldCat.org]
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Credit derivatives pricing models : models, pricing and implementation
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Credit derivatives pricing models : models, pricing and implementation

Author: Philipp J Schönbucher
Publisher: Chichester : Wiley, 2007.
Series: Wiley finance series.
Edition/Format:   Print book : English : ReprintedView all editions and formats
Summary:

The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced  Read more...

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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Philipp J Schönbucher
ISBN: 9780470842911 0470842911
OCLC Number: 255157534
Description: XXI, 375 Seiten : Diagramme.
Contents: 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.
Series Title: Wiley finance series.
Responsibility: Philipp J. Schönbucher.
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