Pricing and hedging of CDOs: a top down approach

DOI10.1007/978-3-642-03479-4_13MaRDI QIDQ3000884zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Dynamic hedging of portfolio credit derivatives
• An empirical study of pricing and hedging collateralized debt obligation (CDO)
• CDO term structure modelling with Lévy processes and the relation to market models
• Hedging CDO tranches in a Markovian environment
• HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH

Cited in

(10)

• Exact pricing asymptotics of investment-grade tranches of synthetic CDO's: a large homogeneous pool
• Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
• Dynamic hedging of portfolio credit derivatives
• Valuation of collateralized funds of hedge fund obligations: a basket option pricing approach
• Valuation of forward-starting CDOs
• 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
• An empirical study of pricing and hedging collateralized debt obligation (CDO)
• From insurance risk to credit portfolio management: a new approach to pricing CDOs
• A simple top-down approach for pricing portfolio credit derivatives

This page was built for publication: Pricing and hedging of CDOs: a top down approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3000884)