Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure (Q5400668)
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scientific article; zbMATH DE number 6265448
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure |
scientific article; zbMATH DE number 6265448 |
Statements
Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure (English)
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4 March 2014
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alternative investments
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comovement
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Lévy process
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modelling asset price dynamics
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