Arbitrage-Free Loss Surface Closest to Base Correlations
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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
Reference20 articles.
1. Optimal Stochastic Recovery for Base Correlations;S Amraoui;BNP Paribas,2008
2. Base Correlation Mapping;P Baheti;Lehman Brothers Quantitative Credit Research Quarterly,2007
3. Pricing distressed CDOs with Base Correlation and Stochastic Recovery;M Krekel;UniCredit Markets & Investment Banking,2008
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1 articles.
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