Collateralized Debt Obligations A Moment Matching Pricing Technique based on Copula Functions /

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...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας:	Marcantoni, Enrico (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή:	SpringerLink (Online service)
Μορφή:	Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:	English
Έκδοση:	Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
Σειρά:	BestMasters
Θέματα:	Business. Management science. Finance. Business and Management. Business and Management, general. Finance, general.
Διαθέσιμο Online:	Full Text via HEAL-Link

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