Quadratic transform approximation for CDO pricing in multifactor models (Q4902208)
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scientific article; zbMATH DE number 6130639
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| English | Quadratic transform approximation for CDO pricing in multifactor models |
scientific article; zbMATH DE number 6130639 |
Statements
Quadratic Transform Approximation for CDO Pricing in Multifactor Models (English)
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25 January 2013
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CDOs
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Laplace transforms
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multifactor models
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Gaussian copula
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transform inversion
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quadratic approximation
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0.766254723072052
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0.7546423077583313
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0.7472863793373108
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