Quadratic transform approximation for CDO pricing in multifactor models

DOI10.1137/110827399MaRDI QIDQ4902208zbMATH OpenOpenAlexFDO

Authors Paul Glasserman, Sira Suchintabandid

Publication date 25 January 2013

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/bda808216ba2b1457cc81d7c8dce69c4bf07a02d

zbMATH Keywords

CDOsGaussian copulaLaplace transformsmultifactor modelsquadratic approximationtransform inversion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Numerical methods (including Monte Carlo methods) (91G60)

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