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Credit Risk: Modeling, Valuation and Hedging

On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs; some acquaintance with arbitrage pricing theory is also

Bibliographic Details
Main Authors: Bielecki, Tomasz R., Rutkowski, Marek (Author)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2004, 2004
Edition:1st ed. 2004
Series:Springer Finance
Subjects:
Finance, Public
Mathematics In Business, Economics And Finance
Probability Theory
Public Economics
Social Sciences / Mathematics
Probabilities
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
Table of Contents:
  • 1. Introduction to Credit Risk
  • 2. Corporate Debt
  • 3. First-Passage-Time Models
  • 4. Hazard Function of a Random Time
  • 5. Hazard Process of a Random Time
  • 6. Martingale Hazard Process
  • 7. Case of Several Random Times
  • 8. Intensity-Based Valuation of Defaultable Claims
  • 9. Conditionally Independent Defaults
  • 10. Dependent Defaults
  • 11. Markov Chains
  • 12. Markovian Models of Credit Migrations
  • 13. Heath-Jarrow-Morton Type Models
  • 14. Defaultable Market Rates
  • 15. Modeling of Market Rates
  • References
  • Basic Notation

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