Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Viktoriya Masol and Wim Schoutens
| Year of publication: |
2008
|
|---|---|
| Authors: | Masol, Viktoriya ; Schoutens, Wim |
| Publisher: |
Eindhoven : EURANDOM |
| Subject: | Hedging | Korrelation | Correlation | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Portfolio-Management | Portfolio selection | Asset-Backed Securities | Asset-backed securities | Kreditrisiko | Credit risk | Schätztheorie | Estimation theory |
| Extent: | Online-Ressource (16 S.) graph. Darst. |
|---|---|
| Series: | EURANDOM reports. - Eindhoven, ZDB-ID 2515268-3. - Vol. 2009-012 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvorraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003709746