scientific article; zbMATH DE number 6961827

DOI10.11908/J.ISSN.0253-374X.2018.02.018MaRDI QIDQ4689012zbMATH OpenFDO

Authors Weifeng Ma, Junjia Zhang, Li Hua Sun

Publication date 22 October 2018

zbMATH Keywords

Laplace transformvariance reductionnumerical inversioncollateralized debt obligationsmultifactor copula models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Laplace transform (44A10)

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Cited in

(3)

• Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula
• Pricing of CDOs based on the multivariate Wang transform
• Quadratic transform approximation for CDO pricing in multifactor models

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