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Document type:
Buchbeitrag 
Author(s):
Scherer, M.; Zagst, R. 
Cooperation:
Title:
Modeling and pricing credit derivatives 
Pages contribution:
111-146 
Abstract:
Credit derivatives often show an appealing risk-return profile for investors. They allow for an enhancement of portfolio returns, but also offer high potential for risk diversification, due to the correlation structure of their returns to those of traditional asset classes. Beside corporate bonds, we therefore review popular credit derivatives and present a mathematical definition of their payoff structures. To actually price credit derivatives, we discuss the most important models and theoretic...    »
 
Editor:
Menéndez, S.C.; F Pérez, J.L. 
Book title:
Contemporary Mathematics (Mathematics in Finance) 
Volume:
515 
Intellectual Contribution:
Contribution to Practice 
Publisher:
American Mathematical Society 
Year:
2010 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
textbook