Mark-to-model for cash CDOs through indifference pricing

DOI10.1080/14697688.2011.620977zbMath1241.91110OpenAlexW2139309577MaRDI QIDQ2893072

Guillaume Bernis

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.620977

zbMATH Keywords

valuationsLévy processcredit derivativesutility indifference

Mathematics Subject Classification ID

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

Related Items

From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Sensitivity analysis for marked Hawkes processes: application to CLO pricing

Cites Work

• Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
• The Variance Gamma Process and Option Pricing