Efficient wavelets-based valuation of synthetic CDO tranches

DOI10.1016/J.CAM.2015.07.025MaRDI QIDQ495089zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

factor modelsB-splinesHaar waveletsCDO valuationcharacteristic function inversion

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 52869 (Why is no real title available?)
• A generic one-factor Lévy model for pricing synthetic CDOs
• Decomposition and reconstruction algorithms for spline wavelets on a bounded interval
• Haar wavelets-based approach for quantifying credit portfolio losses
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On Compactly Supported Spline Wavelets and a Duality Principle
• Peaks and jumps reconstruction with \(B\)-splines scaling functions
• Quadratic transform approximation for CDO pricing in multifactor models
• Robust pricing of European options with wavelets and the characteristic function
• Ten Lectures on Wavelets
• Wavelets

Cited in

(1)

• WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES

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