Research Catalog
Credit derivatives pricing models : models, pricing and implementation
- Title
- Credit derivatives pricing models : models, pricing and implementation / Philipp J. Schönbucher.
- Author
- Schönbucher, Philipp J.
- Publication
- Chichester : Wiley, 2003.
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| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | JBF 03-1115 | Offsite |
Details
- Description
- xxi, 375 p. : ill.; 25 cm.
- Series Statement
- Wiley finance series
- Subject
- Bibliography (note)
- Includes bibliographical references (p. [361]-368) and index.
- Contents
- Introduction -- Credit derivatives : overview and hedge-based pricing -- Credit spreads and bond price-based pricing -- Mathematical background -- Advanced credit spread models -- Recovery modelling -- Implementation of intensity-based models -- Credit rating models -- Firm value and share price-based models -- Models for default correlation.
- Call Number
- JBF 03-1115
- ISBN
- 0470842911
- LCCN
- 2004298895
- OCLC
- 50270160
- Author
- Schönbucher, Philipp J.
- Title
- Credit derivatives pricing models : models, pricing and implementation / Philipp J. Schönbucher.
- Imprint
- Chichester : Wiley, 2003.
- Series
- Wiley finance series
- Bibliography
- Includes bibliographical references (p. [361]-368) and index.
- Research Call Number
- JBF 03-1115