This is a graduate level work covering the economic principles of security markets. Interested readers include students and researchers in economics and finance, as well as financial analysts following the latest theoretical developments in capital asset pricing.
This is a graduate level work covering the economic principles of security markets. Interested readers include students and researchers in economics a...
In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit...
In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations fo...
Mark H. a. Davis Darrell Duffie Wendell H. Fleming
Recent revolutions in the world of finance have created a need for the expertise of research mathematicians in solving problems. The articles in this volume are based on recent research in methods in mathematical finance.
Recent revolutions in the world of finance have created a need for the expertise of research mathematicians in solving problems. The articles in this ...
This book, based on the author's Clarendon Lectures in Finance, examines the empirical behavior of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations over roughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where...
This book, based on the author's Clarendon Lectures in Finance, examines the empirical behavior of corporate default risk. A new and unified statistic...
Mark H. a. Davis Darrell Duffie Wendell H. Fleming
Recent revolutions in the world of finance have created a need for the expertise of research mathematicians in solving problems. The articles in this volume are based on recent research in methods in mathematical finance.
Recent revolutions in the world of finance have created a need for the expertise of research mathematicians in solving problems. The articles in this ...
