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Top Ten 20 Most Cited Books within Credit Derivative Papers

Using the same citations database used to compile the overall Most Referenced Books list, I then condition on just the subset of research papers listed within Credit Derivatives. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a credit derivative researcher. Updated as of 29-September-2010.

Cited in 24 CrDrv papersCredit Risk: Modeling, Valuation and Hedging

Credit Risk: Modeling, Valuation and Hedging
by Tomasz R. Bielecki, Marek Rutkowski,
Springer, (March 5, 2004), Hardcover, 540 pages.
Amazon: Sales Rank= #722,509; Reviews= (4).

Cited in 15 CrDrv papersInterest Rate Models - Theory and Practice: With Smile, Inflation and Credit

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit
by Damiano Brigo, Fabio Mercurio,
Springer, (September 26, 2007), Hardcover, 981 pages.
Amazon: Sales Rank= #182,307; Reviews= (6).

Cited in 14 CrDrv papersCredit Derivatives Pricing Models: Model, Pricing and Implementation

Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher,
Wiley, (March 1, 2003), Hardcover, 600 pages.
Amazon: Sales Rank= #742,521; Reviews= (11).

Cited in 9 CrDrv papersCredit Risk Modeling: Theory and Applications

Credit Risk Modeling: Theory and Applications
by David Lando,
Princeton University Press, (June 1, 2004), Hardcover, 320 pages.
Amazon: Sales Rank= #591,273; Reviews= (5).

Cited in 9 CrDrv papersOptions, Futures and Other Derivatives

Options, Futures and Other Derivatives
by John C. Hull,
Prentice Hall, (February 12, 2011), Hardcover, 864 pages.
Amazon: Sales Rank= #4,004; Reviews= (75).

Cited in 9 CrDrv papersPoint Processes and Queues: Martingale Dynamics

Point Processes and Queues: Martingale Dynamics
by Pierre Bremaud,
Springer, (November 8, 2005), Hardcover, 354 pages.
Amazon: Sales Rank= #1,580,496; No customer reviews yet.

Cited in 8 CrDrv papersCredit Risk: Pricing, Measurement, and Management

Credit Risk: Pricing, Measurement, and Management
by Darrell Duffie, Kenneth J. Singleton,
Princeton University Press, (January 6, 2003), Hardcover, 464 pages.
Amazon: Sales Rank= #267,373; Reviews= (5).

Cited in 8 CrDrv papersBrownian Motion and Stochastic Calculus

Brownian Motion and Stochastic Calculus
by Ioannis Karatzas, Steven E. Shreve,
Springer, (September 5, 2006), Hardcover, 470 pages.
Amazon: Sales Rank= #340,665; Reviews= (7).

Cited in 8 CrDrv papersCounterparty Credit Risk Modelling: Risk Management Pricing and Regulation

Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation
by Michael Pykhtin (Editor),
Risk Books, (December 14, 2005), Hardcover, 399 pages.
Amazon: Sales Rank= #1,421,728; Reviews= (1).

Cited in 7 CrDrv papersStochastic Integration and Differential Equations: Version 2.1

Stochastic Integration and Differential Equations: Version 2.1
by Philip E. Protter,
Springer, (February 19, 2010), Paperback, 436 pages.
Amazon: Sales Rank= #1,458,646; No customer reviews yet.

Cited in 7 CrDrv papersMathematical Finance - Bachelier Congress 2000

Mathematical Finance - Bachelier Congress 2000
by Helyette Geman (Editor), Dilip Madan (Editor), Stanley R. Pliska (Editor), and Ton Vorst (Editor),
Springer, (February 5, 2002), Hardcover, 521 pages.
Amazon: Sales Rank= #3,408,064; No customer reviews yet.

Cited in 5 CrDrv papersCredit: The Complete Guide to Pricing, Hedging and Risk Management

Credit: The Complete Guide to Pricing, Hedging and Risk Management
by Angelo Arvanitis (Editor), Jon Gregory (Editor),
Risk Books, (April 1, 2001), Hardcover, 424 pages.
Amazon: Sales Rank= #1,886,392; Reviews= (6).

Cited in 4 CrDrv papersQuantitative Risk Management: Concepts, Techniques, and Tools

Quantitative Risk Management: Concepts, Techniques, and Tools
by Alexander J. McNeil, Rudiger Frey, and Paul Embrechts,
Princeton University Press, (September 26, 2005), Hardcover, 608 pages.
Amazon: Sales Rank= #99,055; Reviews= (9).

Cited in 4 CrDrv papersMathematics of Derivative Securities

Mathematics of Derivative Securities
by Michael A. H. Dempster, Stanley R. Pliska,
Cambridge University Press, (October 13, 1997), Hardcover, 600 pages.
Amazon: Sales Rank= #2,848,988; Reviews= (1).

Cited in 4 CrDrv papersLévy Processes

Lévy Processes
by Jean Bertoin,
Cambridge University Press, (December 28, 1998), Paperback, 276 pages.
Amazon: Sales Rank= #538,292; No customer reviews yet.

Cited in 4 CrDrv papersLévy Processes in Finance: Pricing Financial Derivatives

Lévy Processes in Finance: Pricing Financial Derivatives
by Wim Schoutens,
Wiley, (April 24, 2003), Hardcover, 196 pages.
Amazon: Sales Rank= #460,533; Reviews= (5).

Cited in 4 CrDrv papersParis-Princeton Lectures on Mathematical Finance 2003

Paris-Princeton Lectures on Mathematical Finance 2003
by Tomasz R. Bielecki, Tomas Björk, Monique Jeanblanc, Marek Rutkowski, José A. Scheinkman, Wei Xiong,
Springer, (December 3, 2004), Paperback, 250 pages.
Amazon: Sales Rank= #2,749,742; Reviews= (1).

Cited in 4 CrDrv papersNumerical Methods for Finance

Numerical Methods for Finance
by John Miller (Editor), David Edelman (Editor), John Appleby (Editor),
Chapman & Hall/CRC, (September 21, 2007), Hardcover, 312 pages.
Amazon: Sales Rank= #1,630,966; No customer reviews yet.

Cited in 4 CrDrv papersDerivatives Trading and Option Pricing

Derivatives Trading and Option Pricing
by Nicholas Dunbar,
Risk Books, (March 1, 2005), Hardcover, 415 pages.
Amazon: Sales Rank= #2,543,988; No customer reviews yet.

Cited in 3 CrDrv papersCredit Risk: Models and Management

Credit Risk: Models and Management
by David Shimko,
Risk Books, (April 1, 2004), Hardcover, 638 pages.
Amazon: Sales Rank= #2,284,353; Reviews= (1).

 

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