An overview of credit derivatives

MaRDI QIDQ1030801zbMATH OpenFDO

Authors Kay Giesecke

Publication date 2 July 2009

Published in Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) (Search for Journal in Brave)

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Computational methods for problems pertaining to probability theory (60-08) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic analysis (60H99) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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• Credit Contagion in a Structural Framework
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• Credit derivatives and credit risk models. A mathematical introduction.

Cited in

(2)

• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
• Valuation of complex financial instruments for credit risk transfer

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