[BOOK][B] Dynamic asset pricing theory
D Duffie - 2010 - books.google.com
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
doctoral students and researchers on the theory of asset pricing and portfolio selection in …
Credit risk: pricing, measurement, and management
D Duffie, KJ Singleton - Credit Risk, 2012 - degruyter.com
In this book, two of America's leading economists provide the first integrated treatment of the
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …
Term structures of credit spreads with incomplete accounting information
We study the implications of imperfect information for term structures of credit spreads on
corporate bonds. We suppose that bond investors cannot observe the issuer's assets …
corporate bonds. We suppose that bond investors cannot observe the issuer's assets …
[BOOK][B] Credit derivatives pricing models: models, pricing and implementation
PJ Schönbucher - 2003 - books.google.com
The credit derivatives market is booming and, for the first time, expanding into the banking
sector which previously has had very little exposure to quantitative modeling. This …
sector which previously has had very little exposure to quantitative modeling. This …
Credit risk modeling
D Lando - Handbook of Financial Time Series, 2009 - Springer
The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …
the modeling of default probabilities, ratings and recovery. We present the two main …
[BOOK][B] An introduction to the mathematics of financial derivatives
A Hirsa, SN Neftci - 2013 - books.google.com
An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that
eases the transition between basic summaries of financial engineering to more advanced …
eases the transition between basic summaries of financial engineering to more advanced …
[BOOK][B] Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets
J Gregory - 2012 - books.google.com
A practical guide to counterparty risk management and credit value adjustment from a
leading credit practitioner Please note that this second edition of Counterparty Credit Risk …
leading credit practitioner Please note that this second edition of Counterparty Credit Risk …
[PDF][PDF] Modelling of default risk: an overview
M Jeanblanc, M Rutkowski - Mathematical finance: theory and practice, 2000 - Citeseer
The aim of these notes is to provide a relatively concise-but still self-contained-overview of
mathematical notions and results which underpin the valuation of defaultable claims …
mathematical notions and results which underpin the valuation of defaultable claims …
Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
RB Israel, JS Rosenthal, JZ Wei - Mathematical finance, 2001 - Wiley Online Library
In this paper we identify conditions under which a true generator does or does not exist for
an empirically observed Markov transition matrix. We show how to search for valid …
an empirically observed Markov transition matrix. We show how to search for valid …
[BOOK][B] The XVA challenge: Counterparty risk, funding, collateral, capital and initial margin
J Gregory - 2020 - books.google.com
A thoroughly updated and expanded edition of the xVA challenge The period since the
global financial crisis has seen a major re-appraisal of derivatives valuation, generally …
global financial crisis has seen a major re-appraisal of derivatives valuation, generally …