This book offers an advanced introduction to models of credit risk
valuation, concentrating on firm-value and reduced-form approaches
and their application. Also included are new models for valuing
derivative securities with credit risk. The book provides detailed
descriptions of the state-of-the-art martingale methods and
advanced numerical implementations based on multivariate 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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