OEAW-Logo RICAM-Logo
Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Optimal leverage strategies for a CDPO

Workshop: Kick-off-Workshop

Time: Tue, September 09, 2008, 10:50-11:40

Speaker: Ralf Korn

Abstract

A CPDO is a new type of financial contract where the seller promisses a riskless spread payment over a riskless rate. However, there is a possibility for a so-called cash-out when the impossibility of full-filling the future payments is realized.
During the talk we derive optimal leverage strategies for such a CPDO and consider their dependence on the input parameters of the contract. They will be compared to strategies used in the industry.

Presentation slides (pdf, 1.5 MB)

< Back | ^ Top


URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php

This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 04/19/24 - 23:52 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST

Impressum