Correlation expansions for CDO pricing

Author:

Glasserman Paul,Suchintabandid Sira

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference11 articles.

1. Speed and accuracy comparison of bivariate normal distribution approximations for option pricing;Agˇca;Journal of Computational Finance,2003

2. All your hedges in one basket;Andersen;RISK,2003

3. In the core of correlation;Gregory;RISK,2004

4. Valuation of a CDO and an nth to default CDS without Monte Carlo simulation;Hull;The Journal of Derivatives,2004

5. Proof of relations connected with the tetrachoric series and its generalization;Kendall;Biometrika,1941

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