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Valuation of forward-starting CDOs - MaRDI portal

Valuation of forward-starting CDOs

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Publication:3636732

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DOI10.1080/00207160802380959zbMath1163.91405OpenAlexW2156311073MaRDI QIDQ3636732

Wanhe Zhang, Ken Jackson

Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802380959

zbMATH Keywords

credit derivatives conditional independence forward-starting CDOs Gaussian factor copula

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (1)

FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS

Cites Work

FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS

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