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~subject:"Volatilität"
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Volatilität
CDO pricing
16
Kreditrisiko
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Multivariate Verteilung
4
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arbitrage CDOs
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systematic risk of CDO tranches
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90 (Operations Research
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Applied mathematical finance
1
Journal of financial engineering
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ECONIS (ZBW)
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A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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2
Dynamic alpha-stable method for
CDO
pricing
Li, Hua
;
Yuan, George
;
Chen, Weina
;
Guo, Li
;
Zhao, Jianbin
- In:
Journal of financial engineering
1
(
2014
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10010508001
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