CDO TERM STRUCTURE MODELLING WITH LÉVY PROCESSES AND THE RELATION TO MARKET MODELS
Year of publication: |
2012
|
---|---|
Authors: | SCHMIDT, THORSTEN ; ZABCZYK, JERZY |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 01, p. 1250008-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Collateralized debt obligations | loss process | single tranche CDO | term structure of forward spreads | Levy processes | market models | Libor rate |
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