Correlation Smile, Volatility Skew, and Systematic Risk Sensitivity of Tranches
| Year of publication: |
2012
|
|---|---|
| Authors: | Hamerle, Alfred ; Igl, Andreas ; Plank, Kilian |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Institutional Investor, ISSN 1074-1240, ZDB-ID 11690045. - Vol. 19.2012, 3, p. 8-29
|