CDO term structure modelling with Lévy processes and the relation to market models
Thorsten Schmidt; Jerzy Zabczyk
| Year of publication: |
2012
|
|---|---|
| Authors: | Schmidt, Thorsten ; Zabczyk, Jerzy |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 1, p. 1-19
|
| Subject: | Collateralized debt obligations | loss process | single tranche CDO | term structure of forward spreads | Levy processes | market models | Libor rate | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Asset-Backed Securities | Asset-backed securities | Kreditrisiko | Credit risk | Derivat | Derivative | Kreditsicherung | Collateral | Kreditderivat | Credit derivative | Verlust | Loss | CAPM | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009562136