Pricing synthetic CDO tranches in a model with default contagion using the matrix analytic approach
Year of publication: |
2008
|
---|---|
Authors: | Herbertsson, Alexander |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 4.2008/09, 4, p. 2-35
|
Subject: | Derivat | Derivative | Preis | Price | Theorie | Theory |
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