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Title:

Modeling and pricing credit derivatives

Document type:
Buchbeitrag
Author(s):
Scherer, M.; Zagst, R.
Cooperation:
-
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
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