Result Number | Material Type | Add to My Shelf Action | Record Details and Options |
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1 |
Material Type: Artigo
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Comparing alternative Lévy base correlation models for pricing and hedging CDO tranchesMasol, Viktoriya ; Schoutens, WimQuantitative finance, 2011-05, Vol.11 (5), p.763-773 [Periódico revisado por pares]Bristol: RoutledgeTexto completo disponível |
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2 |
Material Type: Artigo
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Toward model value-at-risk: bespoke CDO tranches, a case studyCohort, Pierre ; Levy dit Vehel, Pierre-Emmanuel ; Patras, FrédéricJournal of risk model validation, 2013-10, Vol.7 (3), p.21-34 [Periódico revisado por pares]London: Incisive Media LimitedTexto completo disponível |
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3 |
Material Type: Artigo
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Efficient wavelets-based valuation of synthetic CDO tranchesOrtiz-Gracia, LuisJournal of computational and applied mathematics, 2016-01, Vol.292, p.562-575 [Periódico revisado por pares]Elsevier B.VTexto completo disponível |
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4 |
Material Type: Artigo
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Hedging default risks of CDO tranches in non-homogeneous Markovian contagion modelsWenqiong, Liu ; Li, ShenghongApplied mathematics and computation, 2016-12, Vol.291, p.279-291 [Periódico revisado por pares]Elsevier IncTexto completo disponível |
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5 |
Material Type: Artigo
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PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODELGUILLAUME, FLORENCE ; JACOBS, PHILIPPE ; SCHOUTENS, WIMInternational Journal of Theoretical and Applied Finance (IJTAF), 2009-08, Vol.12 (5), p.663-685 [Periódico revisado por pares]Singapore: World Scientific Publishing CompanyTexto completo disponível |
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6 |
Material Type: Artigo
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HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACHLIU, WEN-QIONG ; HUANG, WEN-LIInternational journal of theoretical and applied finance, 2019-03, Vol.22 (2), p.1850057 [Periódico revisado por pares]Singapore: World Scientific Publishing CompanyTexto completo disponível |
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7 |
Material Type: Artigo
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Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approachHerbertsson, AlexanderJournal of credit risk, 2008-12, Vol.4 (4), p.3-35 [Periódico revisado por pares]Texto completo disponível |
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8 |
Material Type: Artigo
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Simulation/Regression Pricing Schemes for CVA Computations on CDO TranchesCrépey, Stéphane ; Rahal, AbdallhCommunications in statistics. Theory and methods, 2014-04, Vol.43 (7), p.1390-1408 [Periódico revisado por pares]Philadelphia: Taylor & Francis GroupTexto completo disponível |
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9 |
Material Type: Artigo
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Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula modelChen, Zhe ; Bao, Qunfang ; Li, Shenghong ; Chen, JianliApplied mathematics and computation, 2012-11, Vol.219 (6), p.2909-2916 [Periódico revisado por pares]Elsevier IncTexto completo disponível |
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10 |
Material Type: Artigo
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Dynamic hedging of synthetic CDO tranches with spread risk and default contagionFrey, Rüdiger ; Backhaus, JochenJournal of economic dynamics & control, 2010-04, Vol.34 (4), p.710-724 [Periódico revisado por pares]Amsterdam: Elsevier B.VTexto completo disponível |