Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms by Svenja Hager.

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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Bibliographic Details
Main Author: Hager, Svenja (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Wiesbaden : Gabler Verlag : Imprint: Gabler Verlag, 2008.
Edition:1st ed. 2008.
Series:Springer eBook Collection.
Subjects:
Finance.
Operations research.
Decision making.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
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.

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