Credit Risk Pricing Models Theory and Practice
This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Whereas the first edition concentrated on the re search which I had done in the context of my PhD thesis, this
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Springer Finance Springer Finance is a new 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.
Credit Risk Valuation: Risk-Neutral Valuation: Pricing and Hedging of Finance Derivatives Bingham, N. H. and Kiese~ R. ISBN 1-85233-001-5 (1998) Visual Explorations in Finance with Self-Organizing Maps Deboeck, G. and Kohonen, T. (Editors) ISBN 3-540-76266-3 (1998) Mathematical Models of Financial Derivatives Kwok, Y.-K. ISBN 3-981-3083-25-5 (1998) Mathematics of Financial Markets Elliott, R.]. and Kopp, P. E. ISBN 0-387-98533-0 (1999) Efficient Methods for Valuing Interest Rate Derivatives A. Pelsser ISBN 1-85233-304-9 (2000) Methods, Models and Applications Ammann,M ISBN 3-540-67805-0 (2001) Credit Risk: Modelling, Valuation and Hedging Bielecki, T. R. and Rutkowski, M. ISBN 3-540-67593-0 (2001) Mathematical Finance - Bachelier Congress 2000 - Selected Papers from the First World Congress of the Bachelier Finance Society, held in Paris, June 29-July 1,2000 Geman, H., Madan, D. S., Pliska R. and Vorst, T. (Editors) ISBN 3-540-67781-X (2001)
Exponential Functionals of Brownian Motion and Related Processes M. Yor ISBN 3-540-65943-9 (2001) Financial Markets Theory: Equilibrium, Efficiency and Information Barucci, E ISBN 3-85233-469-X (2003) Financial Markets in Continuous Time Dana, R.-A. and ]eanblanc, M. ISBN 3-540-41722-9 (2003) Weak, Convergence of Financial Markets Prigent, ].-L. ISBN 3-540-4233-8 (2003) Incomplete Information and Heterogenous Beliefs in Continuous-time Finance Ziegler,A ISBN 3-540-00344-4 (2003) Stochastic Calculus Models for Finance: Volume 1: The Binominal Assett Pricing Model Shreve, S. E. ISBN 3-540-40101-6 (2004) Irrational Exuberance Reconsidered: The Cross Section of Stock Returns Külpmann,M ISBN 3-540-14007-7 (2004) Credit Risk Pricing Models: Theory and Practice Schmid, B. ISBN 3-540-40466-X (2004)
Bernd Schmid
Credit Risk Pricing Models Theory and Practice
Second Edition with 10 1 Figures and 65 Tables
Springer
Dr. Bernd Schmid Director risklab germany GmbH Nymphenburger Strasse 112-116 80636 Munich, Germany risklab @ gmx.de
Mathematics Subject Classification (2000): 35Q80, 60G15, 60G35, 60G44, 60H05, 60jlO, 60)27, 60)35, 60)60, 60)65, 60)75, 62P05, 91B28, 91B30, 91B70, 91B84
Originally pulished with the title "Pricing Credit Linked Pinancial Instruments" as volume 5 16 in the series: Lecture Notes in Economics and Mathematical Systems,
ISBN 978-3-642-07335-9 ISBN 978-3-540-24716-6 (eBook) DOI 10.1007/978-3-540-24716-6
Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data available in the internet at http.//dnb.ddb.de This work is subject t
