Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Hager, Svenja (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Wiesbaden : Gabler Verlag : Imprint: Gabler Verlag, 2008.
Edición:1st ed. 2008.
Temas:
Finance.
Operations research.
Financial Economics.
Operations Research and Decision Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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