Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function

Pricing synthetic collateralized debt obligations based on exponential approximations to the payoff function

Iscoe, Ian, (2013)

CREDIT DERIVATIVES Loss in translation - The authors introduce a lew analytical approach for valuing synthetic collateralised debt obligations. The approach differs from current analytical approaches by focusing on the tranche's loss distribution directly.

Prisco, Ben De, (2005)

CREDIT DERIVATIVES - Loss in translation - The authors introduce a new analytical approach for valuing synthetic collateralised debt obligations. The approach differs from current, analytical approaches by focusing on the tranghe's loss distribution directly.

Prisco, Ben De, (2005)