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Valuation of mortgages by using Lévy models
Chiang, Shu Ling; Tsai, Ming-shann - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 25-54
Persistent link: https://www.econbiz.de/10014582188
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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
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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
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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
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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
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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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Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
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Dynamic CDO term structure modeling
Filipović, Damir; Overbeck, Ludger; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 21 (2011) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10008935703
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Modeling correlation structure for collateralized debt obligations
Ilalan, Deniz - In: International journal of financial research 6 (2015) 2, pp. 72-83
Persistent link: https://www.econbiz.de/10011404924
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Valuation of mortage-backed securities using Brownian bridges to reduce effective dimension
Caflisch, Russel E.; Morokoff, William J.; Owen, Art - In: The journal of computational finance 1 (1997) 1, pp. 27-46
Persistent link: https://www.econbiz.de/10001633147