Zu den Ursachen des Correlation Smiles
Year of publication: |
2008
|
---|---|
Authors: | Hager, Svenja ; Schöbel, Rainer |
Published in: |
Finanzierungstheorie auf vollkommenen und unvollkommenen Kapitalmärkten : Festschrift für Lutz Kruschwitz zum 65. Geburtstag. - München : Vahlen, ISBN 3-8006-3517-8. - 2008, p. 219 - 233
|
Subject: | Derivat | Derivative | Finanzanalyse | Financial analysis | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Theorie | Theory |
-
Delta-hedging correlation risk?
Cousin, Areski, (2012)
-
A note on the correlation smile
Hager, Svenja, (2005)
-
Importance sampling in the presence of PD-LGD correlation
Metzler, Adam, (2020)
- More ...
-
Deriving the dependence structure of portfolio credit derivatives using evolutionary algorithms
Hager, Svenja, (2006)
-
A note on the correlation smile
Hager, Svenja, (2005)
-
Deriving the dependence structure of portfolio credit derivatives using evolutionary algorithms
Hager, Svenja, (2006)
- More ...