目次

【Contents】

[1] Structural Approach
1.1 Notation and Definitions
1.2 The Merton Model
1.3 First Passage Times
1.4 The Black and Cox Model
1.5 Extensions of the Black and Cox Model
1.6 Random Barrier

[2] Hazard Function Approach
2.1 Elementary Market Model
2.2 Martingale Approach
2.3 Princing of Defaultable Claims
2.4 Single-Name　Credit Derivatives
2.5 Basket Credit Derivative
2.6 Application to Coupula-Based Models

[3] Hazard Process Approach
3.1 Hazard Process and its Applications
3.2 Hypothsis
3.3 Predictable Representation Theorem
3.4 The Girsanov Theorem
3.5 Invariance of the Hypothesis
3.6 G-Intensity of Default Time
3.7 Single-Name CDS Market
3.8 Multi-Name CDS Market

[4] Hedging of Defaultable Claims
4.1 Semimartingale Market Model
4.2 Trading Strategies
4.3 Martingale Approach
4.4 PDE Approach

[5] Modeling Dependent Defaults
5.1 Basket Credit Derivatives
5.2 Conditionally Independent Defaults
5.3 Valuation of FTDC and LTDC
5.4 Coupula-Based Approaches
5.5 One-factor Gaussian Copula Model
5.6 Jarrow and Yu Model
5.7 Kusuoka's Model
5.8 Basket Credit Derivatives
5.9 Modeling of Credit Ratings

A Compements