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Credit Risk: Modeling, Valuation and Hedging

Bielecki Tomasz, Rutkowski Marek

9783642087073 - Credit Risk: Modeling, Valuation and Hedging

Artikelomschrijving

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Specificaties

Auteur Bielecki Tomasz, Rutkowski Marek
ISBN/EAN 9783642087073
Druk 1
€ 106,09 € 117,88
Verwachte bezorgdatum: 26-03

Artikelomschrijving

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Specificaties

Auteur Bielecki Tomasz, Rutkowski Marek
ISBN/EAN 9783642087073
Druk 1