From insurance risk to credit portfolio management: a new approach to pricing CDOs

DOI10.1080/14697688.2015.1136076zbMath1400.91239OpenAlexW2344661477MaRDI QIDQ4554223

Graziella Pacelli, Alessandro Andreoli, Luca Vincenzo Ballestra

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1136076

zbMATH Keywords

incomplete marketfinite differencebid-ask spreadsharpe ratioCDOcollateralized debt obligation

Mathematics Subject Classification ID

Related Items (1)

Bond indifference prices

Cites Work

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