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Duffie, D: Credit risk modeling with affine processes
- Editore:
Edizioni della Normale
- EAN:
9788876421389
- ISBN:
8876421386
- Pagine:
- 58
- Formato:
- Paperback
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Descrizione Duffie, D: Credit risk modeling with affine processes
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.
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