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Credit risk modeling with affine processes (Publications of the Scuola Normale Superiore)

Credit risk modeling with affine processes (Publications of the Scuola Normale Superiore)
By Darrel Duffie

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This is a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Normale in Pisa. The objective is 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. This is not a general survey of either topic, but rather is designed to introduce researchers with some background in mathematics to a useful set of modeling techniques and an interesting set of applications.

Product Details

  • Amazon Sales Rank: #8356980 in Books
  • Published on: 2007-05
  • Original language: English
  • Number of items: 1
  • Binding: Paperback
  • 58 pages