Fast Gamma computations for CDO tranches

Mark Joshi and Chao Yang

Year of publication:	2010
Authors:	Joshi, Mark S. ; Chao Yang
Publisher:	Melbourne : Centre for Actuarial Studies, Fac. of Economics & Commerce, Univ. of Melbourne
Subject:	Asset-Backed Securities \| Asset-backed securities \| Portfolio-Management \| Portfolio selection \| Multivariate Verteilung \| Multivariate distribution \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Theorie \| Theory

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