NOTES ON EXACT AND SEMI-EXACT LÉVY MODELS FOR THE VALUATION OF CDOs

DOI10.1142/S0219024910006078zbMath1233.91269OpenAlexW1972540429MaRDI QIDQ2786348

Heidrun Zellinger, Andreas Eichler, Gunther Leobacher

Publication date: 21 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910006078

zbMATH Keywords

Monte Carlo simulationcontrol variatesCDOscorrelated debtLévy one-factor model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Calibration of financial models using quasi-Monte Carlo

Cites Work

• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• LÉVY SIMPLE STRUCTURAL MODELS

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