tailieunhanh - Credit Risk - Modeling, Valuation & 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 manage financial risks. The newly developed credit derivatives industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk . | 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. Credit Risk Valuation Methods Models and Application Af. Ammann ISBN 3-540-67805-0 2001 Risk-Neutral Valuation Pricing and Hedging of Finance Derivatives . Bingham and R. Kiesel ISBN 1-85233-001-5 1998 Interest Rate Models Theory and Practice D. Brigo and F. Mercurio ISBN 3-540-41772-9 2001 Visual Explorations in Finance with Self-Organizing Maps G. Deboeck and T. Kohonen Editors ISBN 3-540-76266-3 1998 Mathematics of Financial Markets R. J. Elliott and p. E Kopp ISBN 0-387-98533-0 1999 Mathematical Finance - Bachelier Congress 2000 H. Geman D. Madan . Pliska and T. Vorst Editors ISBN 3-540-67781-X 2001 Mathematical Models of Financial Derivatives . Kwok ISBN 981-3083-25-5 1998 Efficient Methods for Valuing Interest Rate Derivatives A. Pelsser ISBN 1-85233-304-9 2000 Exponential Functionals of Brownian Motion and Related Processes M. Yor ISBN 3-540-65943-9 2001 Tomasz R. Bielecki Marek Rutkowski Credit Risk Modeling Valuation and Hedging Springer Tomasz R. Bielecki Mathematics Department Northeastern Illinois University 5500 N. St. Louis Avenue Chicago IL 60625-6649 USA e-mail t-bielecki@ Marek Rutkowski Faculty of Mathematics and Information Science Warsaw University of Technology 00-661 Warszawa Poland e-mail markrut@ Preface Mathematics Subject Classification 2000 91B28 91B70 60G44 60H05 60 27 35Q80 JEL Classification coo G12 G13 G32 G33 Cataloging-in-Publication Data applied for Die Deutsche Bibliothek - C1P Einheitsaufhahme Bieledd Tomasz R. Credit risk modeling valuation and hedging Tomasz R. Bielecki Marek Rutkowski - Berlin Heidelberg New York Barcelona Hong Kong .