Zariphopoulou, Thaleia (contributor) - 2011
methodology, in the model presented in the first section. Weappeal to the indifference pricing framework instead of the classic … change-of-numeraire theorem inincomplete markets via indifference pricing. Lastly, in the third essay, we propose a methodto … for pricing such CDOs. The high illiquidity of the CDOmarket coupled with the allowance of default in the underlying …