Dynamic alpha-stable method for CDO pricing
Hua Li, George Yuan, Weina Chen, Li Guo and Jianbin Zhao
| Year of publication: |
2014
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|---|---|
| Authors: | Li, Hua ; Yuan, George ; Chen, Weina ; Guo, Li ; Zhao, Jianbin |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 3, p. 1-16
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| Subject: | CDO pricing | dynamic copula | alpha(α)-stable distribution | chaining method | correlation smile | Multivariate Verteilung | Multivariate distribution | Asset-Backed Securities | Asset-backed securities | Korrelation | Correlation | Kreditrisiko | Credit risk | Derivat | Derivative | Kreditderivat | Credit derivative | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | CAPM |
| Extent: | graph. Darst. |
|---|---|
| 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/10010508001