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Pricing derivative credit risk /

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This book presents new approaches to valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-ar...

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Bibliographic Details
Main Author: Ammann, Manuel, 1970-
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin ; New York : Springer, [1999]
Series:Lecture notes in economics and mathematical systems ; 470.
Subjects:
Derivative securities > Prices > Mathematical models.
Credit > Mathematical models.
Risk > Mathematical models.
Kredietverzekering.
Risicoanalyse.
Wiskundige modellen.
Prijstheorie.
Derivaten (financiën)
Zinsstrukturtheorie.
Derivat (Wertpapier)
Kreditrisiko.
Messung.
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
Summary:This book presents new approaches to valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
Item Description:Electronic resource.
Physical Description:1 online resource (xii, 228 pages) : illustrations.
Format:Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:Includes bibliographical references (pages [211]-219) and index.
ISBN:9783662223307 (electronic bk.)
3662223309 (electronic bk.)
ISSN:0075-8442 ;