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Credit Risk

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Credit Risk

Credit Risk

Marek Capiński, AGH University of Science and Technology, Krakow
Tomasz Zastawniak, University of York
November 2016
Available
Paperback
9780521175753
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    Description

    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.

    • Develops universal fundamental skills that will not go out of date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

    Product details

    November 2016
    Adobe eBook Reader
    9781316862278
    0 pages
    0kg
    6 b/w illus.
    This ISBN is for an eBook version which is distributed on our behalf by a third party.

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    This title is available for institutional purchase via Cambridge Core

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    Contents

    Table of Contents

    • Preface
    • 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
    • Appendix
    • Selected literature
    • Index.
      • Show more
    Courses
    Resources
    Resources for
    Type
    Numerical Work.zip
    Size: 113.75 KB
    Type: application/zip
    Credit Risk - Solutions to exercises.pdf
    Size: 1.17 MB
    Type: application/pdf
    Additional Information
    About the authors
      Authors
    • Marek CapiÅ„ski , AGH University of Science and Technology, Krakow

      Marek Capiński is Professor of Applied Mathematics at AGH University of Science and Technology, Kraków. His research interests include mathematical finance, corporate finance, and hydrodynamics. He has been teaching for over 35 years, has held visiting fellowships in Poland and the UK, and has published over fifty research papers and nine books.

    • Tomasz Zastawniak , University of York

      Tomasz Zastawniak is Chair in Mathematical Finance at the University of York. His research interests include mathematical finance, stochastic analysis, stochastic optimisation and convex analysis, and mathematical physics. He has previously taught at numerous institutions in Poland, the USA, Canada, and the UK, and has published over fifty research publications and eight books.

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