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AuthorRupp, Andreas Joachimdc.contributor.author
Date of accession2016-03-15T09:04:24Zdc.date.accessioned
Available in OPARU since2016-03-15T09:04:24Zdc.date.available
Year of creation2013dc.date.created
AbstractWithin the last decade structured financial products have become an important tool for the risk management of financial institutions. These products had a major role in the financial crisis of 2007, partly due to oversimplifications of the mathematical models and, as a result, the market for these products strongly declined. However, a major part of these products is still on the balance sheets of companies worldwide and nowadays, the market for structured financial products is back on the rise. This thesis investigates a new numerical approach to value structured financial products. The main difficulty of the pricing these products is the inclusion of the portfolio dependency structure and the integration of the vast number of states of the portfolio. As a starting point for the numerical valuation, the model of Kraft and Steffensen (2006) has been chosen, which describes the portfolio states by a Markov chain. As the number of states increases exponentially with the number of assets in the portfolio, this model is mainly of theoretical importance. The price of a structured financial product in this model is described by a coupled system of partial differential equation, describing the value of the portfolio for each state of the Markov chain depending on the time and macroeconomic state variables. A typical portfolio of 125 assets leads to a system of 2^125 coupled parabolic partial differential equations. In this thesis, the necessary tools are developed and applied to solve this vast amount of equations.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
LicenseStandarddc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_v3dc.rights.uri
KeywordABSdc.subject
KeywordCDOsdc.subject
KeywordNumerical financedc.subject
KeywordPDEdc.subject
Dewey Decimal GroupDDC 510 / Mathematicsdc.subject.ddc
LCSHCollateralized debt obligationsdc.subject.lcsh
LCSHWavelets (Mathematics)dc.subject.lcsh
TitleHigh dimensional wavelet methods for structured financial productsdc.title
Resource typeDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-2563dc.identifier.doi
PPN782266916dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-88568dc.identifier.urn
GNDBlack-Scholes-Modelldc.subject.gnd
GNDHochdimensionales Systemdc.subject.gnd
GNDStrukturiertes Finanzproduktdc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Date of activation2014-03-21T10:38:33Zuulm.freischaltungVTS
Peer reviewneinuulm.peerReview
Shelfmark print versionW: W-H 13.552uulm.shelfmark
DCMI TypeTextuulm.typeDCMI
VTS-ID8856uulm.vtsID
CategoryPublikationenuulm.category
University Bibliographyjauulm.unibibliographie


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