Skip to content

Due to scheduled maintenance, if purchasing is normally available on this site, it will not be available from Saturday 18th November 07:00 GMT until Sunday 19th November 15:00 GMT. We apologise for the inconvenience.

Your Cart

×

You have 0 items in your cart.

Register Sign in Wishlist

Credit Risk

Part of Mastering Mathematical Finance

  • Date Published: January 2017
  • availability: Available
  • format: Hardback
  • isbn: 9781107002760

Hardback

Add to wishlist

Other available formats:
Paperback, eBook


Looking for an examination copy?

If you are interested in the title for your course we can consider offering an examination copy. To register your interest please contact collegesales@cambridge.org providing details of the course you are teaching.

Description
Product filter button
Description
Contents
Resources
Courses
About the Authors
  • Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.

    • Develops universal fundamental skills that will not go out of date
    • Written by experienced teachers and tailored specially for master's students
    • Balances rigorous theory with practical application by featuring real-life credit risk examples
    Read more

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity

    ×

    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?

    ×

    Product details

    • Date Published: January 2017
    • format: Hardback
    • isbn: 9781107002760
    • length: 202 pages
    • dimensions: 235 x 158 x 13 mm
    • weight: 0.45kg
    • contains: 6 b/w illus.
    • availability: Available
  • Table of Contents

    Preface
    1. Structural models
    2. Hazard function model and no arbitrage
    3. Defaultable bond pricing with hazard function
    4. Security pricing with hazard function
    5. Hazard process model
    6. Security pricing with hazard process
    Appendix
    Selected literature
    Index.

  • Resources for

    Credit Risk

    Marek Capiński, Tomasz Zastawniak

    Welcome to the resources site

    Here you will find free-of-charge online materials to accompany this book. The range of materials we provide across our academic and higher education titles are an integral part of the book package whether you are a student, instructor, researcher or professional.

    Find resources associated with this title

    Type Name Unlocked * Format Size

    Showing of

    Back to top

    *This title has one or more locked files and access is given only to instructors adopting the textbook for their class. We need to enforce this strictly so that solutions are not made available to students. To gain access to locked resources you either need first to sign in or register for an account.


    These resources are provided free of charge by Cambridge University Press with permission of the author of the corresponding work, but are subject to copyright. You are permitted to view, print and download these resources for your own personal use only, provided any copyright lines on the resources are not removed or altered in any way. Any other use, including but not limited to distribution of the resources in modified form, or via electronic or other media, is strictly prohibited unless you have permission from the author of the corresponding work and provided you give appropriate acknowledgement of the source.

    If you are having problems accessing these resources please email lecturers@cambridge.org

  • Authors

    Marek Capiński, AGH University of Science and Technology, Krakow
    Marek Capiński is Professor of Applied Mathematics at AGH University of Science and Technology, Kraków. His research interests include mathematical finance, corporate finance, and hydrodynamics. He has been teaching for over 35 years, has held visiting fellowships in Poland and the UK, and has published over fifty research papers and nine books.

    Tomasz Zastawniak, University of York
    Tomasz Zastawniak is Chair in Mathematical Finance at the University of York. His research interests include mathematical finance, stochastic analysis, stochastic optimisation and convex analysis, and mathematical physics. He has previously taught at numerous institutions in Poland, the USA, Canada, and the UK, and has published over fifty research publications and eight books.

Sign In

Please sign in to access your account

Cancel

Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email lecturers@cambridge.org

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Are you sure you want to delete your account?

This cannot be undone.

Cancel

Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

×
Please fill in the required fields in your feedback submission.
×