Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
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Publication:3005365
DOI10.1080/14697688.2010.535840zbMath1213.91168OpenAlexW2038630507MaRDI QIDQ3005365
Viktoriya Masol, Wim Schoutens
Publication date: 7 June 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.535840
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (3)
A Multivariate Default Model with Spread and Event Risk ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ The static hedging of CDO tranche correlation risk
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