A note on the correlation smile
Year of publication: |
2005
|
---|---|
Authors: | Hager, Svenja ; Schöbel, Rainer |
Publisher: |
Tübingen : Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät |
Subject: | Finanzderivat | Kreditsicherung | Wertpapieranalyse | Portfolio-Management | Korrelation | Theorie | default risk | CDOs | implied correlation smile | correlation matrx | heterogeneity |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 517736365 [GVK] hdl:10419/40330 [Handle] RePEc:zbw:tuedps:297 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: |
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