Summary : This monograph gives an overview of the current methods for the valu ation of credit risk and considers several applications of credit risk models in the context of derivative pricing. In particular, credit risk models are in corporated into the pricing of derivative contracts that are subject to credit risk.
Print Book , English , ©2001
Edition : 2nd ed View all formats and editions Publisher : Springer , New York , ©2001 Physical Description : x, 255 pages : illustrations ; 25 cm. 9783540678052 , 3540678050 OCLC Number / Unique Identifier : 471367321. Introduction.- 2. Contingent Claim Valuation.- 3. Credit Risk Models.- 4. A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.- 5. A Hybrid Pricing Model for Contingent Claims with Credit Risk.- 6. Pricing Credit Derivatives.- 7. Conclusion.- A. Useful Tools from Martingale Theory.- A.1 Probabilistic Foundations.- A.2 Process Classes.- A.3 Martingales.- A.4 Brownian Motion.- A.5 Stochastic Integration.- A.6 Change of Measure.- References.- List of Figures.- List of Tables.
"Originally published as volume 470 in the series Lecture notes in economics and mathematical systems with the title Pricing derivative credit risk"--Title page verso