A Generic One-Factor Lévy Model for Pricing Synthetic CDOs-Reference-Cited by-同舟云学术

A Generic One-Factor Lévy Model for Pricing Synthetic CDOs

Published:2007 Issue: Volume: Page:259-277
ISSN:2296-5009
Container-title:Applied and Numerical Harmonic Analysis
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Author:

Albrecher Hansjörg,Ladoucette Sophie A.,Schoutens Wim

Publisher

Birkhäuser Boston

Link

http://link.springer.com/content/pdf/10.1007/978-0-8176-4545-8_14

Reference22 articles.

1. O.E. Barndorff-Nielsen. Normal inverse Gaussian distributions and the modelling of stock returns. Research Report No. 300, Department of Theoretical Statistics, Aarhus University, 1995.

2. O.E. Barndorff-Nielsen. Normal inverse Gaussian distributions and stochastic volatility modelling. Scandinavian Journal of Statistics, 24(1):1–13, 1997.

3. M. Baxter. Dynamic modelling of single-name credits and CDO tranches. Working Paper - Nomura Fixed Income Quant Group, 2006.

4. J. Bertoin. Lévy Processes. Cambridge Tracts in Mathematics 121. Cambridge University Press, 1996.

5. B. Grigelionis. Processes of Meixner type. Lithuanian Mathematical Journal, 39(1):33–41, 1999.

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