Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series)


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Conference paper First Online: 12 July This is a preview of subscription content, log in to check access. Bielecki and M. Google Scholar. Bielecki, M.

Jeanblanc and M. Rutkowski: Pricing and trading credit default swaps in a hazard process model.

Annals of Applied Probability 18 , — Rutkowski: Hedging of a credit default swaption in the CIR default intensity model. Forthcoming in Finance and Stochastics. Rutkowski: Credit Risk Modeling.

Chapman and Hall/CRC Financial Mathematics Series

Brace: Engineering BGM. Brace, D. G,atarek, and M. Musiela: The market model of interest rate dynamics. Mathematical Finance 7 , — Yor: Changes of filtrations and of probability measures. Gebiete 45 , — Brigo: Market models for CDS options and callable floaters. Dunbar, ed. Brigo: Constant maturity CDS valuation with market models. Risk Magazine June Wagner, ed.

Brigo and M. Morini: CDS market formulas and models. Working paper, Banca IMI, Brigo and F. Mercurio: Interest Rate Models. Theory and Practice — with Smile, Inflation and Credit. Second Edition. Choulli, L. Krawczyk, and C.

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Stricker: E -martingales and their applications in mathematical finance. Annals of Probability 26 , — Galluccio, J. Ly, Z. Huang, and O. Scaillet: Theory and calibration of swap market models. Mathematical Finance 17 , — Jacod and M. Add to Basket.

By Schoenmakers, John. Introduces the author's various approaches and their impact on Libor modelling and derivative pricing. This book discusses economically sensible parametrisations of the Libor market model, stability issues connected to direct least-squares calibration methods, European and Bermud Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively.

This numeraire approach leads to simpler Offers an introduction to mathematical finance. This text shows how concepts, including mean-variance analysis, binomial models, the Black-Scholes model, and the Gaussian random-field model, are used in financial situations. It covers the general discrete-time model, Brownian mot Interest rate derivatives play a central role in modern financial markets. This book gives an introduction to interest rate models used for pricing and hedging various derivatives on interest rates. It reveals the missing links between various types of interest rate models and ad Presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework.

This work offers an overview of standard portfolio optimization. It provides a review of the main results for static and dynamic cases. It shows how theoretical results By Henry-Laborde're, Pierre. This book focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transportation, highlighting the differences between the optimal tra By Junghenn, Hugo D.

Illustrating mathematical models for structured credit with practical examples, this book presents an introduction to the foundations of structured credit portfolio modeling. It features material on estimation of asset correlations, and benchmark correlations based on securitizat This book introduces computational finance, focusing on practical implementation. Subscribe now to be the first to hear about specials and upcoming releases. South Pacific.


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Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series) Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series)

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