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612-822-4611
Credit Risk Modeling with Affine Processes

Credit Risk Modeling with Affine Processes

Paperback

Series: Publications of the Scuola Normale Superiore

General MathematicsProbability & Statistics

Currently unavailable to order

ISBN10: 8876421386
ISBN13: 9788876421389
Publisher: Edizioni Della Normale
Published: Oct 1 2004
Pages: 58
Language: English
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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General Mathematics