UID:
almafu_9960117631902883
Format:
1 online resource (vii, 194 pages) :
,
digital, PDF file(s).
ISBN:
1-316-86157-0
,
1-316-86227-5
,
1-139-04743-4
Series Statement:
Mastering mathematical finance
Content:
Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and onpricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.
Note:
Title from publisher's bibliographic system (viewed on 31 Jan 2017).
,
Cover -- Half-title -- Series information -- Title page -- Copyright information -- Table of contents -- Preface -- 1 Structural models -- 1.1 Traded assets -- 1.2 Merton model -- 1.3 Non-tradeable assets -- 1.4 Barrier model -- 2 Hazard function model and no arbitrage -- 2.1 Market model -- 2.2 Default time and hazard function -- 2.3 Default indicator process -- 2.4 No arbitrage and risk-neutral probability -- 3 Defaultable bond pricing with hazard function -- 3.1 Initial prices and calibration -- 3.2 Process of prices -- 3.3 Recovery schemes -- 3.4 Martingale properties -- 3.5 Martingale properties of integrals -- 3.6 Bond price dynamics -- 4 Security pricing with hazard function -- 4.1 Martingale representation theorem -- 4.2 Pricing defaultable securities -- 4.3 Credit Default Swap -- 5 Hazard process model -- 5.1 Market model and risk-neutral probability -- 5.2 Martingales with respect to the enlarged filtration -- 5.3 Hazard process -- 5.4 Canonical construction of default time -- 5.5 Conditional expectations -- 5.6 Martingale properties -- 6 Security pricing with hazard process -- 6.1 Bond price dynamics -- 6.2 Trading strategies -- 6.3 Zero-recovery securities -- 6.4 Martingale representation theorem -- 6.5 Securities with positive recovery -- A Appendix -- A.1 Lebesgue-Stieltjes integral -- A.2 Passage time and minimum of Wiener process -- A.3 Stochastic calculus with martingales -- Select bibliography -- Index.
Additional Edition:
ISBN 0-521-17575-5
Additional Edition:
ISBN 1-107-00276-1
Language:
English
URL:
https://doi.org/10.1017/9781139047432
URL:
https://doi.org/10.1017/9781139047432
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