Credit risk modeling with affine processes

Duffie, Darrel

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.

Details

Published by: Edizioni della Normale

Publication Date: 2004-10-01

Format: Paperback

ISBN-13: 9788876421389

DOI:

Dimensions: 240.0cm x170.0cm

Pages: 58.0