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Credit risk modeling with affine processes (Paperback) Loot Price: R514
Discovery Miles 5 140
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Credit risk modeling with affine processes (Paperback): Darrel Duffie

Credit risk modeling with affine processes (Paperback)

Darrel Duffie

Series: Publications of the Scuola Normale Superiore

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Loot Price R514 Discovery Miles 5 140

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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.

General

Imprint: Scuola Normale Superiore
Country of origin: Italy
Series: Publications of the Scuola Normale Superiore
Release date: October 2004
First published: 2004
Authors: Darrel Duffie
Dimensions: 240 x 170mm (L x W)
Format: Paperback
Pages: 58
ISBN-13: 978-88-7642-138-9
Categories: Books > Science & Mathematics > Mathematics > Applied mathematics > General
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LSN: 88-7642-138-6
Barcode: 9788876421389

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