Princeton University Library Catalog

Credit risk / Marek Capiński (AGH University of Science and Technology, Kraków), Tomasz Zastawniak (University of York).

Author:
Capiński, Marek, 1951- [Browse]
Format:
Book
Language:
English
Published/​Created:
  • Cambridge, United Kingdom : Cambridge University Press, 2017.
  • ©2017
Description:
vii, 194 pages : illustrations ; 23 cm.
Series:
Mastering mathematical finance. [More in this series]
Summary note:
Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with real-world examples from the post-credit crisis financial markets, it takes readers through a natural development of mathematical ideas and financial intuition. Students, practitioners and researchers alike will benefit from the compact presentation and detailed worked examples, exercises and solutions.
Bibliographic references:
Includes bibliographical references (pages 191-192) and index.
Subject(s):
ISBN:
  • 1107002761 ((hardback))
  • 9781107002760 ((hardback))
  • 9780521175753 ((paperback))
OCLC:
956623992
Author:
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