Credit Derivatives Pricing Models: Models, Pricing and ImplementationISBN: 978-0-470-84291-1
Hardcover
384 pages
June 2003
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 15-20 days delivery time. The book is not returnable.
|
PHILIPP J. SCHÖNBUCHER is Assistant Professor for Risk
Management in the Mathematics Department at ETH Zurich. He has been
an active researcher in the areas of credit risk modelling and
credit derivatives pricing for the past seven years. His
contributions include models for the term structure of credit
spreads and the dynamic copula-approach for portfolio credit risk.
Through his activities in training and consulting on credit
derivatives he has gained valuable insights into the usability,
strengths and weaknesses of the different credit derivatives
pricing models in a practical context.
Dr. Schönbucher holds a M.Sc. in mathematics from Oxford
University, and diploma and a Ph.D in economics from Bonn
University.