PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL (Q3643589): Difference between revisions
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Revision as of 04:09, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL |
scientific article |
Statements
PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL (English)
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9 November 2009
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credit risk
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CDOs-squared
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collateralized debt obligations
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correlation
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copula
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hedging
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