Quadratic transform approximation for CDO pricing in multifactor models

DOI10.1137/110827399zbMATH Open1255.91398OpenAlexW2155954410MaRDI QIDQ4902208FDOQ4902208

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

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zbMATH Keywords

Gaussian copulaLaplace transformsquadratic approximationCDOstransform inversionmultifactor models

Mathematics Subject Classification ID

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

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• Quantifying credit portfolio losses under multi-factor models
• Pricing of CDOs based on the multivariate Wang transform
• Title not available (Why is that?)
• Efficient wavelets-based valuation of synthetic CDO tranches

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