Credit risk modeling with affine processes
Auteur :
Duffie, Darrell
Éditeur :
Birkhauser Verlag AG
ISBN :
9788876421389
Date de publication :
1 oct. 2004
Dimensions :
24,0 x 17,0 cm
Langue :
Anglais
Pays d'origine :
Italie
Features a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Normale in Pisa. This title aim 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.