ENGLISH

Credit Risk Modeling: Theory and Applications

By David Lando

Book information

Publisher
Princeton University Press
Year
2004
ISBN
9780691089294, 0691089299
Open Library ID
OL7758054M
Language
english
Format
PDF
Filesize
3 MB (2630148 bytes)
Series
Princeton Series in Finance
Pages
329\329
Topic
Economy
Scanned
no
Time added
2010-02-18 13:16:04

Description

This is one of the worst books I have read in applied probability. Key results are glossed over, sometimes stated incorrectly, and almost always incomplete. I will give two examples: (1) In page 33, line 2 the author quotes a formula and places a footnote saying that it does not agree with the result of the original paper. The result in Lando misses a term exp(-\gamma T) and is therefore incorrect, but Lando can't be bothered about who is right, he or the original authors. (2) In page 114, a formula (5.3) and the one preceding it are quoted as "essential ingredient"s in obtaining many pricing formulae but not proved. I wasted considerable amount purchasing the book and cannot recommend it based on its quality or level of content. To call it a book for a course is a cruel joke.

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