Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
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  • Anglický jazyk

Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

Autor: Svenja Hager

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... Viac o knihe

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O knihe

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.

  • Vydavateľstvo: Gabler Verlag
  • Rok vydania: 2008
  • Formát: Paperback
  • Rozmer: 210 x 148 mm
  • Jazyk: Anglický jazyk
  • ISBN: 9783834909152

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