Cross asset portfolio derivatives

Stephan Höcht; Matthias Scherer; Philip Seegerer

doi:10.1142/9789814280112_0008

Cross asset portfolio derivatives

Stephan Höcht
, Matthias Scherer
, Philip Seegerer

Associate Professorship of Risk and Insurance

Technical University of Munich
Assenagon Credit Management GmbH

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

The dependence of extreme financial events among different asset classes is taken under consideration on a portfolio level. For this, a new product group, called cross asset portfolio derivatives, is introduced and explained in the light of related existing products and pricing methods.A classification is presented and features of these products are described. Finally, two modeling and pricing frameworks using multivariate stochastic processes and (hierarchical) copulas, respectively, are suggested.

Original language	English
Title of host publication	Alternative Investments and Strategies
Publisher	World Scientific Publishing Co.
Pages	174-197
Number of pages	24
ISBN (Electronic)	9789814280112
ISBN (Print)	9814280100, 9789814280105
DOIs	https://doi.org/10.1142/9789814280112_0008
State	Published - 1 Jan 2010

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10.1142/9789814280112_0008

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AB - The dependence of extreme financial events among different asset classes is taken under consideration on a portfolio level. For this, a new product group, called cross asset portfolio derivatives, is introduced and explained in the light of related existing products and pricing methods.A classification is presented and features of these products are described. Finally, two modeling and pricing frameworks using multivariate stochastic processes and (hierarchical) copulas, respectively, are suggested.

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BT - Alternative Investments and Strategies

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ER -

Cross asset portfolio derivatives

Abstract

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