Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions

Mathematical and Computer Modelling

Volumn 57, Issue 3-4, 2013, Pages 570-583

  Wu, Jiang Lun ^a   Yang, Wei ^b  

^a SWANSEA UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Affine jump diffusion processes; Collateralised Debt Obligations (CDOs); Heavy tail dependence; Intensity based model; L vy stable distributions

Indexed keywords

COLLATERALISED DEBT OBLIGATIONS (CDOS); HEAVY-TAILS; INTENSITY-BASED; JUMP-DIFFUSION PROCESS; STABLE DISTRIBUTIONS;

COMPUTER SIMULATION; MATHEMATICAL MODELS;

DIFFUSION;

EID: 84870542411     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mcm.2012.06.038     Document Type: Article

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