摘要翻译:
本文利用大偏差理论研究了投资级合成CDO的定价问题。在本文中,我们考虑了一个异构的名称池。我们的主要工具是大偏差分析,它允许我们精确地研究大量特殊随机性的行为。我们的计算允许对相关性进行相当普遍的处理。
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英文标题:
《Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic
CDO's. Part II: A Large Heterogeneous Pool》
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作者:
Richard B. Sowers
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要:
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 heterogeneous pool of names. Our main tool is a large-deviations analysis which allows us to precisely study the behavior of a large amount of idiosyncratic randomness. Our calculations allow a fairly general treatment of correlation.
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PDF链接:
https://arxiv.org/pdf/0903.4478