Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

• Κύριος συγγραφέας: Hager, Svenja (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Gabler, 2008.
• Θέματα: Finance.; Operations research.; Decision making.; Finance, general.; Operation Research/Decision Theory.

With the recent development of non-standard credit derivatives, 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 illiq...

Πίνακας περιεχομένων:

• Collateralized Debt Obligations: Structure and Valuation
• Explaining the Implied Correlation Smile
• Optimization by Means of Evolutionary Algorithms
• Evolutionary Algorithms in Finance: Deriving the Dependence Structure
• Experimental Results
• Summary and Outlook.