Credit risk valuation. Methods, models, and applications.

zbMath0983.91028MaRDI QIDQ5940714

Manuel Ammann

Publication date: 20 August 2001

Published in: Springer Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic calculuscredit risk modelscontingent claims pricingcredit derivatives, martingale theoryderivatives with counterparty default riskfirm-value valuationintensity models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Credit risk (91G40)

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