Vorlesung Finanzmathematik, Risikomanagement und Ratingbau, WS2005/06

E.J. Elton, M.J. Gruber: Modern Portfolio Theory and Investment Analysis. John Wiley and Sons, New York, 1995.

J. Hull: Options, Futures, and Other Derivative Securities, 2nd ed., Prentice-Hall, 1993

P. Wilmott, S. Howison, J. Dewynne: The Mathematics of Financial Derivatives, Cambridge University Press, Cambridge, 1995

M. Baxter, A. Rennie: Financial Calculus, Cambridge University Press, Cambridge, 1996

J. Franke, W. Härdle, C. Hagner: Einführung in die Statistik der Finanzmärkte, Springer, Berlin, 2001

T. Hastie, R. Tibshirani, J. Friedman: The Elements of Statistical Learning, Springer, New York, 2001

T. J. Hastie, R. J. Tibshirani: Generalized Additive Models, Chapman & Hall, London, 1990

P. McCullagh, J. A. Nelder: Generalized Linear Models, 2nd ed., Chapman & Hall, London, 1989

B. Efron, R. J. Tibshirani: An Introduction to the Bootstrap, Chapman & Hall, London, 1993

D. W. Hosmer, S. Lemeshow: Applied Logistic Regression, 2nd ed., Wiley, New York, 2000

A. Agresti: Categorical Data Analysis, 2nd ed., Wiley, New York, 2002

D. G. Kleinbaum, M. Klein: Logistic Regression - A Self-Learning Text, 2nd ed., Springer, New York, 2002

Viel Material, inklusive herunterladbare Paper, findet sich auf der Seite http://www.defaultrisk.com

Auch Ratingagenturen stellen Material zur Verfügung, wie z.B. Moodys unter http://www.moodys.com
Last modified: Thu Nov 16 17:39:57 CET 2006