Gaussian and Poisson approximation: applications to CDOs tranche pricing
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Publication:3622839
DOI10.21314/JCF.2008.180zbMath1175.91177MaRDI QIDQ3622839
Nicole El Karoui, Ying Jiao, David C. Kurtz
Publication date: 28 April 2009
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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