Modelos de Taxa de Juro e Risco de Crédito (1 º Sem 2009/2010)

FI (6ª Edição) , MF (2ª Edição) , MF (3ª Edição)

Bibliografia

Principal

• Tomas Bjork, Arbitrage Theory in Continuous Time , Second edition, Oxford University Press., (2004),
• Phillip J.Schönbucher, Credit Derivatives Pricing Models, Wiley Finance, (2003)

Secundária

• R. Tankov, Financial Modelling with jump processes , Chapman&Hall Financial Mathematical Series, (2004)
• David Lando, Credit Risk Modelling ? theory and applications, Princeton Series in Finance, (2004)
• Duffie, Darrell and Kenneth J. Singleton , Credit Risk ? pricing, measurement and management , Princeton Series in Finance, (2003)