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Credit Risk Modeling with Affine Processes|Darrel Duffie

Credit Risk Modeling with Affine Processes

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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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