Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach
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Published:2008
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ISSN:1556-5068
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Container-title:SSRN Electronic Journal
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language:en
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Short-container-title:SSRN Journal
Author:
Herbertsson Alexander
Reference47 articles.
1. Matrix-analytic models and their analysis;S Asmussen;Scandinavian Journal of Statistics,2000
Cited by
9 articles.
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