Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
Default Clustering in Large Portfolios: Typical Events
Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Large Portfolio Asymptotics for Loss From Default
Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
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