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Pricing Portfolio Credit Derivatios by Means of Evolutionary Algorithms PDF

176 Pages·2008·3.323 MB·English
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by Sveja Hager| 2008| 176 pages| 3.323| English

About Pricing Portfolio Credit Derivatios by Means of Evolutionary Algorithms

With the recent development of non-standard credit derivations, it has become increasingly important to develop pricing models for these illiquid products which are consistent with the pricing models and the market quotes of related liquid instruments. Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO traces with the same underlying portfolio of obligors. Instead of assuming a homogeneous depedence 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.

Detailed Information

Author:Sveja Hager
Publication Year:2008
ISBN:9783834909152
Pages:176
Language:English
File Size:3.323
Format:PDF
Price:FREE
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