Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions (Q2256412)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions |
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Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions (English)
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19 February 2015
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collateralised debt obligations (CDOs)
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intensity based model
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affine jump-diffusion processes
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heavy tail dependence
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Lévy stable distributions
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