Transcription of Math 774 - Credit Risk Modeling - McMaster …
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Math 774 - Credit Risk Modeling - McMaster …
math 774 - Credit Risk ModelingM. R. Grasselli and T. R. HurdDept. of Mathematics and StatisticsMcMaster UniversityHamilton,ON, L8S 4K1 March 31, 20102 Contents1 Types of Financial Risk .. The Nature of this Book ..72 Bond Market Default-free bonds and default-free interest rates .. Defaultable bonds and Credit spreads .. Interest Rate and Credit Derivatives .. Bonds and floating rate notes .. Interest rate swaps .. Credit Default Swaps .. Options on bonds .. Exponential Default Times .. Exercises ..203 Modeling of Interest Differentials.
Math 774 - Credit Risk Modeling M. R. Grasselli and T. R. Hurd Dept. of Mathematics and Statistics McMaster University Hamilton,ON, L8S 4K1 March 31, 2010
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