Pricing a CDO on stochastically correlated underlyings (Q3557568)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing a CDO on stochastically correlated underlyings |
scientific article |
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Pricing a CDO on stochastically correlated underlyings (English)
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23 April 2010
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stochastic covariance matrix
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CDO
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trinomial-trees
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principal component analysis
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method of moments
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