Modern financial mathematics -- theory and practical applications. Vol. 2. Extensions of the Black-Scholes model, interests, credit risk and statistics

DOI10.1007/978-3-658-21000-7zbMath1418.91001OpenAlexW2802679793MaRDI QIDQ1742594

Sascha Desmettre, Ralf Korn

Publication date: 11 April 2018

Published in: Studienbücher Wirtschaftsmathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-658-21000-7

zbMATH Keywords

credit riskparameters estimationmeasures of riskinterest rates modelsparameters calibrationBlack-Scholes model extension

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Credit risk (91G40)

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