Credit Derivatives Pricing Models: Models, Pricing and ImplementationISBN: 978-0-470-84291-1
Hardcover
384 pages
June 2003
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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.