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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)

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