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Cross Asset Portfolio Derivatives

In: Alternative Investments And Strategies

Author

Listed:
  • STEPHAN HÖCHT

    (HVB-Stiftungsinstitut für Finanzmathematik, Technische Universität München, Boltzmannstrasse 3, 85748 Garching bei München, Germany)

  • MATTHIAS SCHERER

    (HVB-Stiftungsinstitut für Finanzmathematik, Technische Universität München, Boltzmannstrasse 3, 85748 Garching bei München, Germany)

  • PHILIP SEEGERER

    (Assenagon GmbH, Theresienhöhe 13 a, 80339 München, Germany)

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.

Suggested Citation

  • Stephan Höcht & Matthias Scherer & Philip Seegerer, 2010. "Cross Asset Portfolio Derivatives," World Scientific Book Chapters, in: Rüdiger Kiesel & Matthias Scherer & Rudi Zagst (ed.), Alternative Investments And Strategies, chapter 8, pages 175-197, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814280112_0008
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