Credit Risk: Modeling, Valuation and Hedging
Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodologies in helping professionals to m
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Editorial Board
M. Avellaneda G. Barone-Adesi M. Broadie
M.H.A. Davis E.Derman C. KlUppelberg E. Kopp W. Schachermayer
Springer-Verlag Berlin Heidelberg GmbH
Springer Finance Springer Finance is a programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.
M. Ammann, Credit Risk Valuation: Methods, Models, and Application (2001) E. Barucci, Financial Markets Theory. Equilibrium, Efficiency and Information (2003) T.R. Bielecki and M. Rutkowski, Credit Risk: Modeling, Valuation and Hedging (2002) N.H. Bingham and R. Kiesel, Risk-Neutral Valuation: Pricing and Hedging of Financial
Derivatives (1998, 2nd ed. 2004) D. Brigo and F. Mercurio, Interest Rate Models: Theory and Practice (2001) R. Buff, Uncertain Volatility Models-Theory and Application (2002) R.A. Dana and M. jeanblanc, Financial Markets in Continuous Time (2002) G. Deboeck and T. Kohonen (Editors), Visual Explorations in Finance with Self-Organizing Maps (1998) R.]. El/iott and P.E. Kopp, Mathematics of Financial Markets (1999) H. Geman, D. Madan, S.R. Pliska and T. Vorst (Editors), Mathematical FinanceBachelier Congress 2000 (2001) Y.-K. Kwok, Mathematical Models of Financial Derivatives (1998) A. Pelsser, Efficient Methods for Valuing Interest Rate Derivatives (2000) ].-L. Prigent, Weak Convergence of Financial Markets (2003) M. Yor, Exponential Functionals of Brownian Motion and Related Processes (2001) R. Zagst, Interest-Rate Management (2002) A. Ziegler, Incomple Information and Heterogeneous Beliefs in Continous-time Finance (2003)
Tomasz R. Bielecki Marek Rutkowski
Credit Risk: Modeling, Valuation and Hedging
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Springer
Tomasz R. Bielecki Applied Mathematics Department Illinois Institute of Technology Engineering 1 Building 10 West 32nd Street Chicago, IL 60616 USA e-mail: [email protected] Marek Rutkowski Faculty of Mathematics and Information Science Politechnika Warszawska pl. Politechniki 1 00-661 Warszawa Poland e-mail: [email protected] Mathematics Subject Classification (2000): 91B28, 91B70, 60G44, 60H05, 60J27, 35Q80 JEL Classification: Coo, G12, G13, G32, G33
Cataloging-in-Publication Data applied for A catalog record for this book is available from the Library of Congress. Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data is available in the Internet at http://dnb.ddb.de
1st edition 2002. Corrected 2nd printing ISBN 978-3-642-08707-3 ISBN 978-3-662-04821-4 (eBook) DOI 10.1007/978-3-662-04821-4 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction
