Pricing and hedging of CDOs: a top down approach
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Publication:3000884
DOI10.1007/978-3-642-03479-4_13zbMATH Open1231.91431OpenAlexW3125899156MaRDI QIDQ3000884FDOQ3000884
Authors: Damir Filipović, Thorsten Schmidt 
Publication date: 31 May 2011
Published in: Contemporary Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_13
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- Affine models with path-dependence under parameter uncertainty and their application in finance
- Pricing equity and debt tranches of collateralized funds of hedge fund obligations: an approach based on stochastic time change and Esscher-transformed martingale measure
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- From insurance risk to credit portfolio management: a new approach to pricing CDOs
- A simple top-down approach for pricing portfolio credit derivatives
- Exact pricing asymptotics of investment-grade tranches of synthetic CDO's: a large homogeneous pool
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