Synopsis
This book presents new approaches to valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
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Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems)
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Pricing Derivative Credit Risk: v. 470 (Lecture Notes in Economics and Mathematical Systems)
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Springer-Verlag Berlin and Heidelberg GmbH and Co. K, 1999
ISBN 10: 3540657533
ISBN 13: 9783540657538
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Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems)
Published by
Springer, 1999
ISBN 10: 3540657533
ISBN 13: 9783540657538
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Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems)
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Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems, 470, Band 470)
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