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Wed, 15 Nov 2006 14:56:27 +0100Wed, 15 Nov 2006 14:56:27 +0100A unified approach to Credit Default Swaption and Constant Maturity Credit Default Swap valuation
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1801
In this paper we examine the pricing of arbitrary credit derivatives with the Libor Market Model with Default Risk. We show, how to setup the Monte Carlo-Simulation efficiently and investigate the accuracy of closed-form solutions for Credit Default Swaps, Credit Default Swaptions and Constant Maturity Credit Default Swaps. In addition we derive a new closed-form solution for Credit Default Swaptions which allows for time-dependent volatility and abitrary correlation structure of default intensities.1M. Krekel; J. Wenzelreporthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1801Wed, 15 Nov 2006 14:56:27 +0100Optimal Portfolios With A Loan Dependent Credit Spread
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1485
If an investor borrows money he generally has to pay higher interest rates than he would have received, if he had put his funds on a savings account. The classical model of continuous time portfolio optimisation ignores this effect. Since there is obviously a connection between the default probability and the total percentage of wealth, which the investor is in debt, we study portfolio optimisation with a control dependent interest rate. Assuming a logarithmic and a power utility function, respectively, we prove explicit formulae of the optimal control.M. Krekelreporthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1485Mon, 02 Feb 2004 14:54:56 +0100Optimal Portfolios with Fixed Consumption or Income Streams
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1484
We consider some portfolio optimisation problems where either the investor has a desire for an a priori specified consumption stream or/and follows a deterministic pay in scheme while also trying to maximize expected utility from final wealth. We derive explicit closed form solutions for continuous and discrete monetary streams. The mathematical method used is classical stochastic control theory.R. Korn; M. Krekelreporthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1484Mon, 02 Feb 2004 14:53:10 +0100