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- Document type:
- Masterarbeit
- Author(s):
- Friederich, Tim
- Title:
- Credit Modeling of Hedge Funds
- Abstract:
- One of the characteristics of hedge funds is that only little is known about their assets. Yet, it's the assets which drive their performance. This thesis is describing the hedge fund's asset process with different models and defining the hedge fund value as a barrier option with the assets as underlying and the liabilities as barrier.
- Advisor:
- Prof. Dr. Marcos Escobar, Prof. Dr. Luis Seco
- Referee:
- Prof. Dr. Rudi Zagst
- Year:
- 2009
- Language:
- en
- Notes:
- Elitestudiengang FIM
- University:
- Technische Universität München
- Faculty:
- Fakultät für Mathematik
- Format:
- Text
BibTeX