Name: Credit Risk: Modeling, Valuation and Hedging von Tomasz R. Bielecki
SKU: 9783540675938
Price: 62.99 EUR
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Credit Risk: Modeling, Valuation and Hedging Zusammenfassung

Credit Risk: Modeling, Valuation and Hedging Tomasz R. Bielecki

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Credit Risk: Modeling, Valuation and Hedging Bewertungen

From the reviews:

T.R. Bielecki and M. Rutkowski

Credit Risk

Modeling, Valuation and Hedging

A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of mathematical finance . . . It provides an excellent treatment of mathematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with credit-risky assets. It is a worthwhile addition to the literature and will serve as highly recommended reading for students and researchers in the subject area for some years to come.

-MATHEMATICAL REVIEWS

The main purpose of this outstanding monograph is to present a comprehensive survey of the existing developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important feature of this book is its attempt to bridge the gap between the mathematical theory of credit risk and the financial practice. ... The content of this book provides an indispensable guide to graduate students, researchers, and also to advanced practitioners in the fields ... . (Neculai Curteanu, Zentralblatt MATH, Vol. 979, 2002)

Über Tomasz R. Bielecki

1

Inhaltsverzeichnis

The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades. This volume will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners engaged in managing credit-risk sensitive portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. 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 aquaintance with arbitrage pricing theory is also expected. A systematic exposition of mathematical techniques underlying the intensity-based approach is however provided.

Zusätzliche Informationen

Sku

GOR004977669

ISBN 13

9783540675938

ISBN 10

3540675930

Titel

Credit Risk: Modeling, Valuation and Hedging Tomasz R. Bielecki

Autor

Tomasz R. Bielecki

Serien

Springer Finance

Zustand

Gebraucht - Sehr Gut

Bindung

Gebundene Ausgabe

Verlag

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Datum

2004-01-22

Anzahl der Seiten

501

Preise

N/A

Begleitschreiben

Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.

Hinweis

Dies ist ein gebrauchtes Buch. Es wurde schon einmal gelesen und weist von der früheren Nutzung Gebrauchsspuren auf. Wir gehen davon aus, dass es im Großen und Ganzen in einem sehr guten Zustand ist. Sollten Sie jedoch nicht vollständig zufrieden sein, setzen Sie sich bitte mit uns in Verbindung.