Hedging tranches index products : illustration of model dependency
Year of publication: |
2006
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Authors: | Guegan, Dominique ; Houdain, Julien |
Institutions: | HAL |
Subject: | CDO | Factor models | NIG distribution |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00179325 Published, The Icfai Journal of derivatives markets, 2006, 4, 39 - 61 |
Source: |
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