A Generic one-factor Lévy model for pricing synthetic CDOs

Applied and Numerical Harmonic Analysis

Volumn , Issue 9780817645441, 2007, Pages 259-277

  Albrecher, Hansjörg ^a,b   Ladoucette, Sophie A ^c   Schoutens, Wim ^c  

^a JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS   (Austria)

^b GRAZ UNIVERSITY OF TECHNOLOGY   (Austria)

^c UNIVERSITY OF LEUVEN   (Belgium)

Author keywords

collateralized debt obligation (CDO); credit default; credit risk; large homogeneous portfolio approximation; L vy processes

Indexed keywords

EID: 84896503149     PISSN: 22965009     EISSN: 22965017     Source Type: Book Series    
DOI: 10.1007/978-0-8176-4545-8_14     Document Type: Chapter

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