Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

• Main Author: Hager, Svenja (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Gabler, 2008.
• Subjects: 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...

Table of Contents:

• 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.