Title: Credit Risk: Modeling, Valuation, and Hedging

Author: Tomasz R. Bielecki and Marek Rutkowski

Publisher: Springer

Year: 2002

Pages: 497

Quality: Photocopy

TOC:

1. Introdcution to Credit Risk

2. Corporate Debt

3. First-Passage-Time Models

4. Hazard Function of a Random Time

5. Hazard Process of a Random Time

6. Martingale Hazard Process

7. Case of Several Random Times

8. Intensity-Based Valuation of Deaultable Claims

9. Conditionally Independent Defaults

10. Dependent Defaults

11. Markov Chains

12. Markovian Models of Credit Migrations

13. Heath-Jarrow-Morton Type Models

14. Defaultable Market Rates

15. Modeling of Market Rates