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...

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Bibliographic Details
Main Author: Marcantoni, Enrico (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:English
Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
Series:BestMasters
Subjects:
Business.
Management science.
Finance.
Business and Management.
Business and Management, general.
Finance, general.
Online Access:Full Text via HEAL-Link

Internet

Full Text via HEAL-Link

ΒΚΠ - Πατρα: ALFd

Holdings details from ΒΚΠ - Πατρα: ALFd
Call Number: 330.01 BAU
Copy 1 Available

ΒΚΠ - Πατρα: BSC

Holdings details from ΒΚΠ - Πατρα: BSC
Call Number: 330.01 BAU
Copy 2 Available
Copy 3 Available

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