Auflistung nach Autor "Hager, Svenja"

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  • A note on the correlation smile 
    Hager, Svenja; Schöbel, Rainer (2005)
    The correct modeling of default dependence is essential for the valuation of multiname credit derivatives. However for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equal pairwise ...
  • Deriving the dependence structure of portfolio credit derivatives using evolutionary algorithms 
    Hager, Svenja; Schöbel, Rainer (2006)
    Even if the correct modeling of default dependence is essential for the valuation of portfolio credit derivatives, for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equal pairwise ...