Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
by Svenja Hager
Wybierz format:
156.97 zł
Opis książki
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.
Szczegóły książki
Autor
Svenja Hager
Wydawnictwo
Betriebswirtschaftlicher Verlag Gabler
Rok wydania
2008
ISBN
9783834997029
Dostępne formaty
eBook (PDF, EPUB)
Audiobook (MP3)
Język
Polski