Description

Book Synopsis
This book provides readers with the theories and methodologies of credit risk and pricing of credit derivatives. Credit Derivativesalso includes detailed, practical implementations of these theories and methodologies to increase practitioners' knowledge of credit risk assessment and credit derivative pricing.

Table of Contents
Arbitrage and Pricing.

Fundamentals of Stochastic Calculus.

Pricing in Continuous Time.

Scenario Generation.

European Pricing with Simulation.

Simulation for Early Exercise.

Finite Differences.

Quantitative Methods in Derivatives Pricing

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    A Hardback by Domingo Tavella

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      Publisher: John Wiley & Sons Inc
      Publication Date: Publication Date: 16/05/2002
      ISBN13: 9780471394471, 978-0471394471
      ISBN10: 0471394475

      Description

      Book Synopsis
      This book provides readers with the theories and methodologies of credit risk and pricing of credit derivatives. Credit Derivativesalso includes detailed, practical implementations of these theories and methodologies to increase practitioners' knowledge of credit risk assessment and credit derivative pricing.

      Table of Contents
      Arbitrage and Pricing.

      Fundamentals of Stochastic Calculus.

      Pricing in Continuous Time.

      Scenario Generation.

      European Pricing with Simulation.

      Simulation for Early Exercise.

      Finite Differences.

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