Credit Risk

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Marek Capiński (AGH University of Science and Technology, Krakow) Tomasz Zastawniak (University of York)

Credit Risk

Marek Capiński (AGH University of Science and Technology, Krakow), Tomasz Zastawniak (University of York)

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English

Cambridge University Press
24 November 2016

Credit & credit institutions; Applied mathematics

Series: Mastering Mathematical Finance

Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.

By: Marek Capiński (AGH University of Science and Technology Krakow), Tomasz Zastawniak (University of York)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 227mm, Width: 152mm, Spine: 10mm
Weight: 330g
ISBN: 9780521175753
ISBN 10: 0521175755
Series: Mastering Mathematical Finance
Pages: 201
Publication Date: 24 November 2016
Audience: Professional and scholarly , College/higher education , Undergraduate , Primary
Format: Paperback
Publisher's Status: Active

Preface; 1. Structural models; 2. Hazard function model and no arbitrage; 3. Defaultable bond pricing with hazard function; 4. Security pricing with hazard function; 5. Hazard process model; 6. Security pricing with hazard process; Appendix; Selected literature; Index.

Marek Capiński is Professor of Applied Mathematics at AGH University of Science and Technology, Kraków. His research interests include mathematical finance, corporate finance, and hydrodynamics. He has been teaching for over 35 years, has held visiting fellowships in Poland and the UK, and has published over fifty research papers and nine books. Tomasz Zastawniak is Chair in Mathematical Finance at the University of York. His research interests include mathematical finance, stochastic analysis, stochastic optimisation and convex analysis, and mathematical physics. He has previously taught at numerous institutions in Poland, the USA, Canada, and the UK, and has published over fifty research publications and eight books.