Pricing and Hedging of CDOs: A Top Down Approach

DOI10.1007/978-3-642-03479-4_13zbMath1231.91431OpenAlexW3125899156MaRDI QIDQ3000884

Thorsten Schmidt, Damir Filipović

Publication date: 31 May 2011

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

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_13

Mathematics Subject Classification ID

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

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