A Short Course on Credit Risk Modeling with Affine Processes
نویسنده
چکیده
8 Correlated Default 19 I am extremely grateful for the wonderful work done by Maurizio Pratelli in arranging my visit to Pisa and for organizing this course, for the hospitality of the Scuola Normale Superiore, and for the support for the course offered by the Associazione Amici della Scuola Normale Superiore, who were generously represented by Mr. Carlo Gulminelli. These notes are currently in the form of a rough draft. Future improvements can be obtained at www.stanford.edu/∼duffie/.
منابع مشابه
Credit risk modeling with affine processes q
This article combines an orientation to credit risk modeling with an introduction to affine Markov processes, which are particularly useful for financial modeling. We emphasize corporate credit risk and the pricing of credit derivatives. Applications of affine processes that are mentioned include survival analysis, dynamic term-structure models, and option pricing with stochastic volatility and...
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1 This is the written version of the Cattedra Galileana lectures, Scuola Normale Supe-riore, in Pisa, 2002, made possible through the wonderful organizational work of Maurizio Pratelli, to whom I am most grateful. I am also grateful for support for the course offered by the Associazione Amici della Scuola Normale Superiore, who were generously represented by Mr. Carlo Gulminelli.
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