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Correlation expansions for CDO pricing
5 references·2 citing·25 second hop
Correlation expansions for CDO pricing (2006)Correlation expansions for CDO pricingBasket default swaps, CDOs and factor copulas (2005)Basket default swaps, CDOs an…Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation (2004)Valuation of a CDO and an n -…Credit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…On Default Correlation (2000)On Default CorrelationValuing moving barrier options (1997)Valuing moving barrier optionsCredit portfolio optimization: A multi-objective genetic algorithm approach (2021)Credit portfolio optimization…Technological Change, Financial Innovation, and Diffusion in Banking (2009)Technological Change, Financi…On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling Term Structures of Defaultable Bonds (1999)Extensions to the Gaussian copula: random recovery and random factor loadings (2005)A framework for assessing the systemic risk of major financial institutions (2009)Systemic Risk Contributions (2011)An Introduction to Copulas (1999)Credit Risk: Modeling, Valuation and Hedging (2004)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Pricing Options With Curved Boundaries 1 (1992)A Continuity Correction for Discrete Barrier Options (1997)Constructing Binomial Trees From Multiple Implied Probability Distributions (1999)Local time and the pricing of time-dependent barrier options (2008)Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps (2016)“Options, Futures, and Other Derivatives” (2016)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Arbitrage Theory in Continuous Time (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Forecasting: theory and practice (2022)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing (2007)Modeling Dependence in High Dimensions With Factor Copulas (2015)
this work references cited by second hop

References

  • 2000On Default Correlation1,465 cited
  • 2003Credit Derivatives Pricing Models706 cited
  • 2004Valuation of a CDO and an n -th to Default CDS Without Monte Carlo Simulation497 cited
  • 2005Basket default swaps, CDOs and factor copulas260 cited
  • 1997Valuing moving barrier options56 cited

Cited by

  • 2021Credit portfolio optimization: A multi-objective genetic algorithm approach42 cited
  • 2009Technological Change, Financial Innovation, and Diffusion in Banking16 cited

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