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Titel:

Modeling and pricing credit derivatives

Dokumenttyp:
Buchbeitrag
Autor(en):
Scherer, M.; Zagst, R.
Kooperation:
-
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...     »
Seitenangaben Beitrag:
111-146
Herausgeber:
Menéndez, S.C.; F Pérez, J.L.
Buchtitel:
Contemporary Mathematics (Mathematics in Finance)
Band / Teilband / Volume:
515
Intellectual Contribution:
Contribution to Practice
Verlag / Institution:
American Mathematical Society
Jahr:
2010
Reviewed:
ja
Sprache:
en
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Kategorie:
textbook
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