Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Author | : Svenja Hager |
Publisher | : Springer Science & Business Media |
Total Pages | : 176 |
Release | : 2008-09-08 |
ISBN-10 | : 9783834997029 |
ISBN-13 | : 3834997021 |
Rating | : 4/5 (29 Downloads) |
Download or read book Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms written by Svenja Hager and published by Springer Science & Business Media. This book was released on 2008-09-08 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.