Collateralized Debt Obligations A Moment Matching Pricing Technique based on Copula Functions /
The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. The original method is developed by Castagna, Mercurio and Mosconi in 2012. The Thesis provides an extension of the original work by generalizing the Gaussian dependence in terms of Copula functions. In particula...
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| Language: | English |
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Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2014.
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| Edition: | 1st ed. 2014. |
| Series: | BestMasters,
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| Online Access: | https://doi.org/10.1007/978-3-658-04846-4 |