Credit Derivatives Pricing Models, 9780470842911
Hardcover
Master credit derivatives pricing: proven models for real-world application.

Credit Derivatives Pricing Models

models, pricing and implementation

$291.70

  • Hardcover

    400 pages

  • Release Date

    16 May 2003

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Summary

Mastering Credit Derivatives: A Practical Guide to Pricing Models

The credit derivatives market is experiencing rapid growth, extending its reach into the banking sector and requiring professionals to grapple with quantitative modeling. Credit Derivatives Pricing Models delivers a comprehensive exploration of contemporary credit risk modeling techniques applied to pricing credit derivatives.

This book uniquely focuses on pricing, complementing other resources on the…

Book Details

ISBN-13:9780470842911
ISBN-10:0470842911
Series:The Wiley Finance Series
Author:Philipp J. Schönbucher
Publisher:John Wiley & Sons Inc
Imprint:John Wiley & Sons Inc
Format:Hardcover
Number of Pages:400
Edition:1st
Release Date:16 May 2003
Weight:879g
Dimensions:254mm x 177mm x 29mm
About The Author

Philipp J. Schönbucher

PHILIPP J. SCHÖNBUCHER is Assistant Professor for Risk Management in the Mathematics Department at ETH Zurich. He has been an active researcher in the areas of credit risk modelling and credit derivatives pricing for the past seven years. His contributions include models for the term structure of credit spreads and the dynamic copula-approach for portfolio credit risk. Through his activities in training and consulting on credit derivatives he has gained valuable insights into the usability, strengths and weaknesses of the different credit derivatives pricing models in a practical context.

Dr. Schönbucher holds a M.Sc. in mathematics from Oxford University, and diploma and a Ph.D in economics from Bonn University.

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