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ECONIS (ZBW)
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1
Collateralized Debt Obligations' valuation using the One Factor Gaussian Copula Model
Buzková, Petra
;
Teplý, Petr
- In:
Prague economic papers : a bimonthly journal of …
21
(
2012
)
1
,
pp. 30-49
Persistent link: https://www.econbiz.de/10009700586
Saved in:
2
Pricing CDOs with a smile : the local correlation model
Turc, Julien
;
Very, Philippe
- In:
Frontiers in quantitative finance : volatility and …
,
(pp. 235-250)
.
2009
Persistent link: https://www.econbiz.de/10003787606
Saved in:
3
Implications of stochastic recovery rates in evaluating CDO tranches
Garcia, Tania
;
Maghakian, Arthur
;
Sharma, Sanjay
- In:
The journal of fixed income
14
(
2004
)
3
,
pp. 64-71
Persistent link: https://www.econbiz.de/10002682770
Saved in:
4
Markov models for CDOs
Schlögl, Erik
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 319-340)
.
2008
Persistent link: https://www.econbiz.de/10003918730
Saved in:
5
Hedging CDOs in the one-factor Gaussian Copula framework
Meissner, Gunter
;
Hector, Richard
;
Rasmussen, Thomas
- In:
The definitive guide to CDOs : market, application, …
,
(pp. 481-499)
.
2008
Persistent link: https://www.econbiz.de/10003918859
Saved in:
6
Pricing distressed CDOs with stochastic recovery
Höcht, Stephan
;
Zagst, Rudi
- In:
Review of derivatives research
13
(
2010
)
3
,
pp. 219-244
Persistent link: https://www.econbiz.de/10008695890
Saved in:
7
Notes on exact and semi-exact Lévy models for the valuation of CDOs
Eichler, Andreas
;
Leobacher, Gunther
;
Zellinger, Heidrun
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 979-1000
Persistent link: https://www.econbiz.de/10008905093
Saved in:
8
Credit models and the crisis : default cluster dynamics and the generalized Poisson loss model
Brigo, Damiano
;
Pallavicini, Andrew
;
Torresetti, Roberto
- In:
The journal of credit risk : published quarterly by …
6
(
2010/11
)
4
,
pp. 39-81
Persistent link: https://www.econbiz.de/10008807737
Saved in:
9
Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya
;
Schoutens, Wim
-
2008
Persistent link: https://www.econbiz.de/10003709746
Saved in:
10
Gaussian and Poisson approximation : applications to CDOs tranche pricing
El Karoui, Nicole
;
Jiao, Ying
;
Kurtz, David
- In:
The journal of computational finance
12
(
2008/09
)
2
,
pp. 31-58
Persistent link: https://www.econbiz.de/10009534632
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