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...
| Main Author: | |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Wiesbaden
Gabler Verlag
2008, 2008
|
| Edition: | 1st ed. 2008 |
| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
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