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Structured Products and Related Credit Derivatives: A Comprehensive Guide for Investors
by Brian P. Lancaster, Glenn M. Schultz, Frank J. Fabozzi, Wiley, April 25, 2008, Hardcover, 524 pages
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The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM | Sponsor:
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| | Top Ten 20 Most Cited Books within Credit Pricing PapersUsing 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 Pricing. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a credit pricing researcher. Updated as of 28-September-2008. | Cited in 18 PRICE papers |  | Dynamic Asset Pricing Theory
by Darrell Duffie,
Princeton University Press, (November 1, 2001), Hardcover, 471 pages.
Amazon: Sales Rank= #198,157; Reviews=  (6). | | Cited in 16 PRICE papers |  | Stochastic Integration and Differential Equations
by Philip E. Protter,
Springer, (May 24, 2005), Hardcover, 302 pages.
Amazon: Sales Rank= #452,104; No customer reviews yet. | | Cited in 15 PRICE papers |  | Credit Risk: Modeling, Valuation and Hedging
by Tomasz R. Bielecki, Marek Rutkowski,
Springer, (March 5, 2004), Hardcover, 540 pages.
Amazon: Sales Rank= #757,242; Reviews=  (2). | | Cited in 15 PRICE papers |  | Credit Risk: Pricing, Measurement, and Management
by Darrell Duffie, Kenneth J. Singleton,
Princeton University Press, (January 6, 2003), Hardcover, 464 pages.
Amazon: Sales Rank= #535,073; Reviews= (5). | | Cited in 14 PRICE papers |  | Brownian Motion and Stochastic Calculus
by Ioannis Karatzas, Steven E. Shreve,
Springer, (September 5, 2006), Hardcover, 470 pages.
Amazon: Sales Rank= #73,855; Reviews=  (7). | | Cited in 10 PRICE papers |  | Options, Futures and Other Derivatives
by John C. Hull,
Prentice Hall, (May 18, 2008), Hardcover, 848 pages.
Amazon: Sales Rank= #2,597; Reviews= (69). | | Cited in 9 PRICE papers |  | Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher,
Wiley, (March 1, 2003), Hardcover, 600 pages.
Amazon: Sales Rank= #160,986; Reviews=  (9). | | Cited in 9 PRICE papers |  | Mathematics of Derivative Securities
by Michael A. H. Dempster, Stanley R. Pliska,
Cambridge University Press, (October 13, 1997), Hardcover, 600 pages.
Amazon: Sales Rank= #1,842,630; Reviews=  (1). | | Cited in 9 PRICE papers |  | Managing Credit Risk: The Great Challenge for Global Financial Markets
by John B. Caouette, Edward I. Altman, Paul Narayanan, Robert Nimmo,
Wiley, (May 16, 2008), Hardcover, 656 pages.
Amazon: Sales Rank= #70,025; No customer reviews yet. | | Cited in 8 PRICE papers |  | Credit Risk Modeling: Theory and Applications
by David Lando,
Princeton University Press, (June 1, 2004), Hardcover, 320 pages.
Amazon: Sales Rank= #368,011; Reviews=  (4). | | Cited in 8 PRICE papers |  | Point Processes and Queues: Martingale Dynamics
by Pierre Bremaud,
Springer, (November 8, 2005), Hardcover, 354 pages.
Amazon: Sales Rank= #1,216,103; No customer reviews yet. | | Cited in 7 PRICE papers |  | Séminaire de Probabilités XLI
by Catherine Donati-Martin (Editor), Michel Émery (Editor), Alain Rouault (Editor), Christophe Stricker (Editor),
Springer, (April 25, 2008), Paperback, 472 pages.
Amazon: Sales Rank= #4,220,691; No customer reviews yet. | | Cited in 6 PRICE papers |  | Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms
by Anthony Saunders, Linda Allen,
Wiley, (February 1, 2001), Hardcover, 288 pages.
Amazon: Sales Rank= #841,540; Reviews= (4). | | Cited in 6 PRICE papers |  | Limit Theorems for Stochastic Processes
by Jean Jacod, Albert N. Shiryaev,
Springer, (December 16, 2002), Hardcover, 661 pages.
Amazon: Sales Rank= #479,116; Reviews= (1). | | Cited in 5 PRICE papers |  | Forecasting, Structural Time Series Models and the Kalman Filter
by Andrew C. Harvey,
Cambridge University Press, (April 26, 1991), Paperback, 570 pages.
Amazon: Sales Rank= #275,714; No customer reviews yet. | | Cited in 4 PRICE papers |  | Credit Risk: Models and Management
by David Shimko,
Risk Books, (April 1, 2004), Hardcover, 638 pages.
Amazon: Sales Rank= #660,258; Reviews= (1). | | Cited in 4 PRICE papers |  | Handbook of Mathematical Functions: with Formulas, Graphs, and Mathematical Tables
by Milton Abramowitz (Editor), Irene A. Stegun (Editor),
Dover Publications, (June 1, 1965), Paperback, 1046 pages.
Amazon: Sales Rank= #44,175; Reviews= (14). | | Cited in 4 PRICE papers |  | A Second Course in Stochastic Processes
by Samuel Karlin, Howard M. Taylor,
Academic Press, (April 28, 1981), Hardcover, 542 pages.
Amazon: Sales Rank= #497,854; Reviews= (4). | | Cited in 4 PRICE papers |  | On Exponential Functionals of Brownian Motion and Related Processes
by Marc Yor,
Springer, (September 21, 2001), Paperback, 203 pages.
Amazon: Sales Rank= #1,829,425; No customer reviews yet. | | Cited in 3 PRICE papers |  | Martingale Methods in Financial Modelling
by Marek Musiela, Marek Rutkowski,
Springer, (June 11, 2007), Hardcover, 636 pages.
Amazon: Sales Rank= #117,355; Reviews= (7). |
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