theory and practice of modeling risk and credit derivatives外语英文电子书

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1、CREDITRISKMODELINGMATH587:CourseNotesTomaszR.BieleckiDepartmentofAppliedMathematicsIllinoisInstituteofTechnologyChicago,IL60616,USAMoniqueJeanblancD¶epartementdeMath¶ematiquesUniversit¶ed'EvryVald'Essonne¶91025EvryCedex,France¶MarekRutkowskiSchoolofMathematicsandStatis

2、ticsUniversityofNewSouthWalesSydney,NSW2052,AustraliaAppliedMathematicsDepartmentIllinoisInstituteofTechnologyFall20082Contents1StructuralApproach91.1BasicAssumptions.....................................91.1.1DefaultableClaims.................................91.1.2Risk

3、-NeutralValuationFormula.........................101.1.3DefaultableZero-CouponBond..........................111.2Merton'sModelofaCorporateDebt...........................121.3PropertiesofFirstPassageTimes.............................141.3.1ProbabilityLawoftheFirstPassag

4、eTime...................151.3.2JointProbabilityLawofYand¿.........................171.4BlackandCoxModel...................................211.4.1BlackandCoxFormula..............................221.4.2CorporateCouponBond..............................261.4.3OptimalCapita

5、lStructure.............................281.5ExtensionsoftheBlackandCoxModel.........................291.5.1StochasticInterestRates.............................301.6RandomBarrier......................................311.6.1IndependentBarrier.............................

6、...322HazardFunctionApproach332.1ElementaryMarketModel.................................332.1.1HazardFunction..................................332.1.2DefaultableZero-CouponBondwithRecoveryatMaturity..........342.1.3DefaultableZero-CouponwithRecoveryatDefault............

7、...372.2MartingaleApproach....................................382.2.1ConditionalExpectations.............................392.2.2MartingalesAssociatedwithDefaultTime....................392.2.3PredictableRepresentationTheorem.......................432.2.4Girsanov'sTheore

8、m................................452.2.5RangeofArbitragePrices.............................472.2.6ImpliedRisk-Neutral