Quadratic Transform Approximation for CDO Pricing in Multifactor Models (Q4902208)
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scientific article; zbMATH DE number 6130639
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quadratic Transform Approximation for CDO Pricing in Multifactor Models |
scientific article; zbMATH DE number 6130639 |
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Quadratic Transform Approximation for CDO Pricing in Multifactor Models (English)
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25 January 2013
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CDOs
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Laplace transforms
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multifactor models
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Gaussian copula
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transform inversion
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quadratic approximation
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