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The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing

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2008PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES108 cited
2009The Normal Inverse Gaussian Distribution and the Pricing of Derivatives88 cited
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2018A Comparative Distributional Method for Public Administration Illustrated Using Public Budget Data

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29 cited

2008Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research29 cited

2006Explaining the Correlation Smile Using Variance Gamma Distributions28 cited

2006Portfolio losses in factor models: term structures and intertemporal loss dependence27 cited

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