Efficient wavelets-based valuation of synthetic CDO tranches
DOI10.1016/J.CAM.2015.07.025zbMATH Open1320.91159OpenAlexW3124736696MaRDI QIDQ495089FDOQ495089
Authors: Luis Ortiz-Gracia 
Publication date: 9 September 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.07.025
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Characteristic functions; other transforms (60E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Credit risk (91G40)
Cites Work
- Title not available (Why is that?)
- Ten Lectures on Wavelets
- Wavelets
- On Compactly Supported Spline Wavelets and a Duality Principle
- Peaks and jumps reconstruction with \(B\)-splines scaling functions
- Robust pricing of European options with wavelets and the characteristic function
- Haar wavelets-based approach for quantifying credit portfolio losses
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- A generic one-factor Lévy model for pricing synthetic CDOs
- Decomposition and reconstruction algorithms for spline wavelets on a bounded interval
- Quadratic transform approximation for CDO pricing in multifactor models
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