Author: Amraoui Salah Cousot Laurent Hitier Sebastien Laurent Jean-Paul
Publisher: Routledge Ltd
ISSN: 1469-7688
Source: Quantitative Finance, Vol.12, Iss.8, 2012-08, pp. : 1219-1240
Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.
Abstract
Related content
Pricing distressed CDOs with stochastic recovery
Review of Derivatives Research, Vol. 13, Iss. 3, 2010-10 ,pp. :
Pricing a defaultable bond with a stochastic recovery rate
By Chiang Shu-Ling Tsai Ming-Shann
Quantitative Finance, Vol. 10, Iss. 1, 2010-01 ,pp. :
Mark-to-model for cash CDOs through indifference pricing
Quantitative Finance, Vol. 12, Iss. 1, 2012-01 ,pp. :