Efficient wavelets-based valuation of synthetic CDO tranches

DOI10.1016/j.cam.2015.07.025zbMath1320.91159OpenAlexW3124736696MaRDI QIDQ495089

Luis Ortiz-Gracia

Publication date: 9 September 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.07.025

zbMATH Keywords

B-splinesHaar waveletsfactor modelsCDO valuationcharacteristic function inversion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Numerical methods for wavelets (65T60) Credit risk (91G40)

Cites Work

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• Decomposition and reconstruction algorithms for spline wavelets on a bounded interval
• Peaks and jumps reconstruction with \(B\)-splines scaling functions
• Robust Pricing of European Options with Wavelets and the Characteristic Function
• Ten Lectures on Wavelets
• On Compactly Supported Spline Wavelets and a Duality Principle
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Wavelets
• Quadratic Transform Approximation for CDO Pricing in Multifactor Models
• Haar wavelets-based approach for quantifying credit portfolio losses

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