Pricing CDOs with state-dependent stochastic recovery rates
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Publication:2873547
DOI10.1080/14697688.2012.663925zbMath1279.91170OpenAlexW3121366534MaRDI QIDQ2873547
Jean-Paul Laurent, Laurent Cousot, Salah Amraoui, Sebastien Hitier
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.663925
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (4)
Research on CDS pricing model with endogenous recovery rate ⋮ Pricing industry loss warranties in a Lévy-Frailty framework ⋮ On break-even correlation: the way to price structured credit derivatives by replication ⋮ Piecewise constant martingales and lazy clocks
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