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Moosbrucker, 2006 - Google Patents

Pricing CDOs with correlated variance gamma distributions

Moosbrucker, 2006

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Document ID
16355938104713072820
Author
Moosbrucker T
Publication year
Publication venue
Journal of Fixed Income

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Snippet

In this article, we propose a method for synthetic CDO pricing with Variance Gamma processes and distributions. First, we extend a structural model proposed by Luciano and Schoutens [2005] by allowing a more general dependence structure. We show that our …
Continue reading at www.cfr-cologne.de (PDF) (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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