Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms - Svenja Hager - ebook

Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms ebook

Svenja Hager

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339,44 zł

Opis

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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