Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool

Details Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool

2009-03-25

arxiv.org/abs/0903.4475v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

We use the theory of large deviations to study the pricing of
investment-grade tranches of synthetic CDO's. In this paper, we consider a
simplified model which will allow us to introduce some of the concepts and
calculations.

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