Anonymous shelf assessment
Foundational Insights into Credit-Default Swaps
Shelf score 8.0 / 10
On Pricing Credit-Default Swaps · Darrell Duffie · Mark Garleanu · John Wiley & Sons
Published 23 March 2026
This work provides a mathematical framework for valuing credit-default swaps.
Overview
Published in 2003 by John Wiley & Sons, 'Pricing Credit-Default Swaps' by Darrell Duffie and Mark Garleanu delivers a rigorous mathematical analysis of credit-default swap (CDS) pricing. The text is particularly focused on intensity-based models and offers practical guidance for practitioners in the field.
The book is designed for derivatives quants and credit traders, presenting a clear mathematical development that underpins the valuation of CDS. It serves as a foundational resource for those seeking to understand the complexities of credit derivatives and their pricing mechanisms.
While the book excels in its technical depth, it may present challenges for readers not well-versed in advanced mathematical concepts. Therefore, it is best suited for professionals with a strong background in quantitative finance and derivatives.
By area & interest
Mathematical Foundations
The book offers a comprehensive mathematical treatment of credit-default swap pricing, making it an essential resource for those seeking to grasp the underlying theories.
Practical Guidance
In addition to theoretical insights, the authors provide practical guidance, making the content applicable to real-world trading scenarios.
Target Audience
This text is specifically tailored for derivatives quants and credit traders, ensuring that the content meets the needs of professionals in the finance sector.
Basis of this assessment
This assessment is based on the catalogue description and details regarding the book's focus and audience.
Strengths
The book is noted for its clear mathematical development, providing a solid foundation for understanding CDS pricing.
Limitations
Its technical depth may be a barrier for readers lacking a strong mathematical background.
Ideal reader
Ideal readers include practitioners in quantitative finance, particularly those focused on derivatives and credit trading.