Schlösser, Anna
Pricing and Risk Management of Synthetic CDOs
1. Introduction
Anna Schlösser
2. Credit Derivatives and Markets
Anna Schlösser
3. Mathematical Preliminaries
Anna Schlösser
4. One Factor Gaussian Copula Model
Anna Schlösser
5. Normal Inverse Gaussian Factor Copula Model
Anna Schlösser
6. Term Structure Dimension
Anna Schlösser
7. Large Homogeneous Cell Approximation for Factor Copula Models
Anna Schlösser
8. Regime-Switching Extension of the NIG Factor Copula Model
Anna Schlösser
9. Simulation Framework
Anna Schlösser
10. Conclusion
Anna Schlösser
Keywords: Economics/Management Science, Finance /Banking, Quantitative Finance, Applications of Mathematics
- Author(s)
- Schlösser, Anna
- Publisher
- Springer
- Publication year
- 2011
- Language
- en
- Edition
- 1
- Series
- Lecture Notes in Economics and Mathematical Systems
- Page amount
- 12 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9783642156090