Pricing Derivative Credit Risk
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Ammann, Manuel: Credit Risk Valuation: Methods, Models, and Applications. 2nd ed.. Corr. 2nd printing, Berlin Springer Verlag, 2001. ISBN: 3540678050
Zustand: Gut, X, 255, 17 figs., 23 tabs. About this book This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form approaches and their applications in practice. Additionally, the book includes new models for valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives. Written for scientists and researchers, lecturers ISBN 3540678050
Gebunden
[SW: Bewertung; Counterparty Risk; Credit Risk; Derivative; Derivatives; Insolvenzrisiko; Kreditrisiko; Martingales; Pricing; Valuation]
Ammann, Manuel.: Pricing Derivative Credit Risk. (=Lecture Notes in Economics and Mathematical Systems 470). [Text in English Language]. Springer, Berlin 1999.
228 pp. Large 8vo. Softcover, as good as new.
Hull, John C. Options, Futures, & Other Derivatives, Upper Saddle River, NJ Prentice-Hall, Inc 2000
ISBN: 0-13-022444-8 Fine/No dj
Laminated pictorial boards, tan spine with white & black titles, xix, 698 pp, chapter bibliographies, glossary, index, 3.5-inch floppy disk in pocket on rear board. DerivaGem software on floppy disk, still sealed in pocket, consists of a spreadsheet, add-in, and dll for Excel 7.0 or later, for performing options pricing & volatility calculations. Contents: futures markets & hedging; forward & futures prices; interest rates & duration; swaps; options markets; stock option prices; options trading strategies; binomial trees; behavior of stock prices; Black-Scholes model; options on indices, currencies & futures; the Greek letters; value at risk; estimating volatilities & correlations; numerical procedures; volatility smiles & alternatives to Black-Scholes; exotic options; extensions of the theoretical framework for pricing derivatives: martingales & measures; interest rate derivatives (3 chapters); credit risk. Shipping weight 3 lbs. 4th ed, 1st ptg 23½ X 16 cm
[SW: Business Investing Derivative Securities]
Pennacchi, George: Theory of Asset Pricing, U.S.A. Pearson Addison Wesley 2008
ISBN: 2006039325 As New
Like new. Instructor edition, same content as student edition. Theory of Asset Pricing (The Addison-Wesley Series in Finance) (Hardcover) By Book Description KEY MESSAGE: Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing. Single-Period Portfolio Choice and Asset Pricing: Expected Utility and Risk Aversion; Mean-Variance Analysis; CAPM, Arbitrage, and Linear Factor Models; Consumption-Savings and State Pricing; Multiperiod Consumption, Portfolio Choice, and Asset Pricing: A Multiperiod Discrete Time Model of Consupmtion; Multiperiod Market Equilibrium; Contingent Claims Pricing: Basics of Derivative Pricing; Essentials of Diffusion Processes and Ito's Lemma; Dynamic Hedging and PDE Valuation; Arbitrage, Martingales, Pricing Kernels; Mixing Diffusion and Jump Processes; Asset Pricing in Continuous Time: Continuous-Time Consumption and Portfolio Choice; Equilibrium Asset Returns; Time-Inseparable Utility; Additional Topics in Asset Pricing: Behavioral Finance and Asset Pricing; Asset Pricing with Differential Information; Models of the Term Structure of Interest Rates; Models of Default Risk. MESSAGE: For all readers interested in asset valuation. About the Author George G. Pennacchi is a professor of finance and a co-director of the Office for Banking Research at the University of Illinois at Urbana-Champaign. He is also a Research Associate at the Federal Reserve Bank of Cleveland and the Program Coordinator for Deposit Insurance at the Federal Deposit Insurance Corporation's Center for Financial Research. His research focuses on financial intermediaries and the valuation of fixed-income securities and government guarantees. Currently, he is an editor of the Journal of Financial Intermediation and an associate editor of the Journal of Banking and Finance, the Journal of Financial and Quantitative Analysis, the Journal of Financial Services Research, and the Journal of Money, Credit and Banking. Previously, he was an associate editor for the Journal of Finance, the Review of Financial Studies, and Management Science, and a co-editor of Advances in Futures and Options Research. His consulting experience includes work for the U.S. Office of Management and Budget, the World Bank, and the International Monetary Fund. He has been a visiting professor at Universita Bocconi in Milan, Italy, and was a member of the finance faculty at the Wharton School of the University of Pennsylvania. Mr. Pennacchi received a Sc.B. degree in applied mathematics from Brown University in 1977 and a Ph.D. in economics from the Massachusetts Institute of Technology in 1984. Product Details Hardcover: 400 pages Publisher: Addison Wesley; 1 edition (February 10, 2007) Language: English ISBN-10: 2006039325 Product Dimensions: 9.2 x 7.5 x 1.2 inches Hard Cover
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