This book presents new approaches to valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the...

Die Dissertation umfasst drei Artikel aus den Bereichen Asset Liability Management und Asset Management. Im ersten Artikel entwerfen wir einen Liability Benchmark, welcher zur Beurteilung der Anlage von Pensionskassen dient. Die relative Rendite der Strategischen Asset Allokation (SAA) im...

This dissertation consists of three independent papers. The first paper investigates the role of incomplete investor information in financial innovations. We analyze the information that structured product issuers provide to the investors and find that issuers have an information advantage over...