Valuation and VaR Computation for CDOs Using Stein’s Method (Q3542255)

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Valuation and VaR Computation for CDOs Using Stein’s Method
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    title
    Valuation and VaR Computation for CDOs Using Stein’s Method (English)
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    author
    Nicole El Karoui
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    Ying Jiao
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    David C. Kurtz
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    publication date
    1 December 2008
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    Mathematics Subject Classification ID
    91G40
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    91G20
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    91G70
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    91B30
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    zbMATH DE Number
    5375144
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    zbMATH Keywords
    collateralized debt obligations (CDO)
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