Article2003

Credit Derivatives Pricing Models: Models, Pricing and Implementation

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Preface. Acknowledgements. Abbreviations. Notation. 1. Introduction. 2. Credit Derivatives: Overview and Hedge-Based Pricing. 3. Credit Spreads and Bond Price-Based Pricing. 4. Mathematical Background. 5. Advanced Credit Spread Models. 6. Recovery Modelling. 7. Implementation of Intensity-Based Models. 8. Credit Rating Models. 9. Firm Value and Share Price-Based Models. 10. Models for Default Correlation. Bibliography. Index.

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