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Bespoke CDO pricing
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Equivalent Strike framework
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Index base correlation extrapolation
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index tranche sensitivities
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Mrad, Moez
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Triki, Racem
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Fine-tuning the
equivalent
strike
framework
for bespoke cdo tranches pricing
Mrad, Moez
;
Triki, Racem
-
Volkswirtschaftliche Fakultät, …
-
2011
This paper presents a fine-tuning of some mapping functions used in the
Equivalent
Strike
framework
. This new approach …
Persistent link: https://www.econbiz.de/10009019738
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