Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function
Year of publication: |
2013
|
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Authors: | Iscoe, Ian ; Jackson, Ken ; Kreinin, Alex ; Ma, Xiofang |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 16.2012/13, 3, p. 127-150
|
Subject: | Theorie | Theory | Kreditrisiko | Credit risk | Asset-Backed Securities | Asset-backed securities | Kreditsicherung | Collateral |
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