CDO pricing with nested Archimedean copulas

By Hofert Marius   Scherer Matthias  

Quantitative Finance, Vol. 11, Iss. 5, 2011-05 ,pp. : 775-787

Routledge Ltd

Access to resources Recommend Favorite

Comparing alternative Levy base correlation models for pricing and hedging CDO tranches

By Masol Viktoriya   Schoutens Wim  

Quantitative Finance, Vol. 11, Iss. 5, 2011-05 ,pp. : 763-773

Routledge Ltd

Access to resources Recommend Favorite

The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

By Grzelak Lech A.   Oosterlee Cornelis W.   Van Weeren Sacha  

Quantitative Finance, Vol. 11, Iss. 11, 2011-11 ,pp. : 1647-1663

Routledge Ltd

Access to resources Recommend Favorite

Modeling the evolution of implied CDO correlations

By Hofert Marius  

Finanzmarkt und Portfolio Management, Vol. 24, Iss. 3, 2010-09 ,pp. : 289-308

Springer Publishing Company

Access to resources Recommend Favorite

Risk-neutral versus objective loss distribution and CDO tranche valuation

By Torresetti Roberto   Brigo Damiano   Pallavicini Andrea  

Journal of Risk Management in Financial Institutions, Vol. 2, Iss. 2, 2009-01 ,pp. : 175-192

Henry Stewart Publications

Access to resources Recommend Favorite