Quadratic Transform Approximation for CDO Pricing in Multifactor Models

DOI10.1137/110827399zbMath1255.91398OpenAlexW2155954410MaRDI QIDQ4902208

Sira Suchintabandid, Paul Glasserman

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

Laplace transformsquadratic approximationGaussian copulaCDOstransform inversionmultifactor models

Mathematics Subject Classification ID

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

Related Items (2)

Quantifying credit portfolio losses under multi-factor models ⋮ Efficient wavelets-based valuation of synthetic CDO tranches

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