Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.Read more
- Develops universal fundamental skills that will not go out of date
- Written by experienced teachers and tailored specially for master's students
- Balances rigorous theory with practical application by featuring real-life credit risk examples
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- Date Published: November 2016
- format: Hardback
- isbn: 9781107002760
- length: 202 pages
- dimensions: 235 x 158 x 13 mm
- weight: 0.45kg
- contains: 6 b/w illus.
- availability: Available
Table of Contents
1. Structural models
2. Hazard function model and no arbitrage
3. Defaultable bond pricing with hazard function
4. Security pricing with hazard function
5. Hazard process model
6. Security pricing with hazard process
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