Pricing CDOs with state-dependent stochastic recovery rates
From MaRDI portal
Publication:2873547
DOI10.1080/14697688.2012.663925zbMath1279.91170MaRDI QIDQ2873547
Jean-Paul Laurent, Laurent Cousot, Salah Amraoui, Sebastien Hitier
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.663925
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
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