{
"item_title" : "Credit Risk Modeling with Affine Processes",
"item_author" : [" Darrel Duffie "],
"item_description" : "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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Credit Risk Modeling with Affine Processes
Overview
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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Details
- ISBN-13: 9788876421389
- ISBN-10: 8876421386
- Publisher: Edizioni Della Normale
- Publish Date: October 2004
- Page Count: 58
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