Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Author :
Publisher : Springer Science & Business Media
Total Pages : 176
Release :
ISBN-10 : 9783834997029
ISBN-13 : 3834997021
Rating : 4/5 (021 Downloads)

Book Synopsis Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms by : Svenja Hager

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.

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