Valuation of forward-starting CDOs

International Journal of Computer Mathematics

Volumn 86, Issue 6 SPEC. ISS., 2009, Pages 955-963

  Jackson, Ken ^a   Zhang, Wanhe ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Conditional independence; Credit derivatives; Forward starting CDOs; Gaussian factor copula

Indexed keywords

COLLATERALIZED DEBT OBLIGATIONS; CONDITIONAL INDEPENDENCES; CREDIT DERIVATIVES; FORWARD-STARTING CDOS; GAUSSIANS; MODEL-BASED OPC; NUMERICAL RESULTS; PRICING PROBLEMS;

NUMERICAL METHODS;

COSTS;

EID: 67849126561     PISSN: 00207160     EISSN: 10290265     Source Type: Journal    
DOI: 10.1080/00207160802380959     Document Type: Article

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