Efficient wavelets-based valuation of synthetic CDO tranches (Q495089)
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scientific article; zbMATH DE number 6479582
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| English | Efficient wavelets-based valuation of synthetic CDO tranches |
scientific article; zbMATH DE number 6479582 |
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Efficient wavelets-based valuation of synthetic CDO tranches (English)
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9 September 2015
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CDO valuation
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factor models
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characteristic function inversion
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Haar wavelets
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B-splines
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