CDO pricing with nested Archimedean copulas

Quantitative Finance

Volumn 11, Issue 5, 2011, Pages 775-787

  Hofert, Marius ^a   Scherer, Matthias ^b  

^a UNIVERSITY OF ULM   (Germany)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

CDO; Hierarchial dependence structure; Monte Carlo pricing; Nested Archimedean copula

Indexed keywords

EID: 79957833035     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680903508479     Document Type: Article

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