Pricing a CDO on stochastically correlated underlyings

DOI10.1080/14697680802629418MaRDI QIDQ3557568zbMATH OpenOpenAlexFDO

Authors M. Escobar, Barbara Götz, R. Zagst, L. Seco

Publication date 23 April 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802629418

zbMATH Keywords

CDOmethod of momentsprincipal component analysisstochastic covariance matrixtrinomial-trees

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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