Credit portfolio modelling with elliptically contoured distributions [Elektronische Ressource] : approximation, pricing, dynamisation / vorgelegt von Clemens Prestele

Universit¨at UlmInstitut fur¨ FinanzmathematikCredit Portfolio Modelling with EllipticallyContoured DistributionsApproximation, Pricing, DynamisationDissertationzur Erlangung des DoktorgradesDr. rer. nat.der Fakultat¨ fur¨ Mathematik und Wirtschaftswissenschaftender Universit¨at Ulmvorgelegt vonDipl.-Math. oec. Clemens Presteleaus ErlangenUlm, 2007iiAmtierender Dekan: Professor Dr. Frank Stehling1. Gutachter: Professor Dr. Rud¨ iger Kiesel, Universit¨at Ulm2. Gutachter: Professor Dr. Ulrich Stadtmul¨ ler, Universit¨at UlmTag der Promotion: 14. November 2007My ventures are not in one bottom trusted,Nor to one place; nor is my whole estateUpon the fortune of this present year;Therefore my merchandise makes me not sad.The Merchant of Venice, Act 1 Scene 1by William ShakespeareiiiivAcknowledgementsFirst of all, I wish to express my sincere appreciation to Prof. Dr. Ru¨diger Kiesel foroffering me the opportunity to write this thesis under his supervision at the Institute ofMathematical Finance. I am very thankful for his great guidance, valuable suggestionsandcomprehensivesupportduringtheyearsofmydoctoralresearch.Ialwaysenjoyedtocontributetotheteachingdutiesandthe“life”attheinstituteandhighlyappreciatedtheencouragement and financial assistance e.g. for taking part in seminars and conferences.I extend my great gratitude to Prof. Dr.