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Credit Derivatives Pricing Models: Models, Pricing and Implementation

ISBN: 978-0-470-84291-1
Hardcover
384 pages
June 2003
List Price: US $179.00
Government Price: US $114.56
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Credit Derivatives Pricing Models: Models, Pricing and Implementation (0470842911) cover image
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.

Preface.

Acknowledgements.

Abbreviations.

Notation.

1. Introduction.

2. Credit Derivatives: Overview and Hedge-Based Pricing.

3. Credit Spreads and Bond Price-Based Pricing.

4. Mathematical Background.

5. Advanced Credit Spread Models.

6. Recovery Modelling.

7. Implementation of Intensity-Based Models.

8. Credit Rating Models.

9. Firm Value and Share Price-Based Models.

10. Models for Default Correlation.

Bibliography.

Index.

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