This is a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Normale in Pisa. The objective is to combine an orientation to credit-risk modeling (emphasizing the valuation of corporate debt and credit derivatives) with an introduction to the analytical tractability and richness of affine state processes.  Meer

Suitable for doctoral students and researchers, this book talks about the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty.  Meer