Mark-to-model for cash CDOs through indifference pricing
type: Item
instance of: scholarly article
title: Mark-to-model for cash CDOs through indifference pricing
zbMATH Open document ID: 1241.91110
DOI: 10.1080/14697688.2011.620977
author: Guillaume Bernis
published in: Quantitative Finance
publication date: 2012-06-25T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 6049735
zbMATH Keywords: credit derivatives
zbMATH Keywords: utility indifference
zbMATH Keywords: Lévy process
zbMATH Keywords: valuations
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697688.2011.620977
OpenAlex ID: W2139309577
cites work: Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
cites work: The Variance Gamma Process and Option Pricing
description: scientific article; zbMATH DE number 6049735