Pricing Derivative Credit Risk(English, Paperback, Ammann M.) | Zipri.in
Pricing Derivative Credit Risk(English, Paperback, Ammann M.)

Pricing Derivative Credit Risk(English, Paperback, Ammann M.)

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This text presents approaches to valuing derivative securities with credit risk, focusing 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.