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Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms - Svenja Hager - Bog

af Svenja Hager
Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms af Svenja Hager
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Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783834909152
  • Indbinding:
  • Paperback
  • Sideantal:
  • 160
  • Udgivet:
  • 26. marts 2008
  • Udgave:
  • 2008
  • Størrelse:
  • 210x148x8 mm.
  • Vægt:
  • 272 g.
  • 8-11 hverdage.
  • 9. december 2024

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Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in the standard market model, the author focuses on the use of heterogeneous correlation structures.

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