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Dokumenttyp:
Buchbeitrag 
Autor(en):
Höcht, S.; Scherer, M.; Seegerer, P. 
Kooperation:
national 
Titel:
Cross asset portfolio derivatives 
Abstract:
The dependence of extreme financial events among different asset classes is taken under consideration on a portfolio level. For this means, a new product group, called cross asset portfolio derivatives, is introduced and explained under the light of related existing products and pricing methods. A classification is presented and features of these products are described. Finally, two modeling and pricing frameworks using multivariate stochastic processes and (hierarchical) copulas, respectively,...    »
 
Seitenangaben Beitrag:
175-197 
Herausgeber:
Kiesel, R.; Scherer, M.; Zagst, R. 
Buchtitel:
Alternative Assets and Strategies 
Intellectual Contribution:
Contribution to Practice 
Verlag / Institution:
World Scientific, Singapore 
Jahr:
2010 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Semester:
SS 02 
Format:
Text 
CC-Lizenz:
by, http://creativecommons.org/licenses/by/4.0 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook