CDO pricing with nested Archimedean copulas

Metadata only

Author

Date

2011

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

Journal / series

Quantitative Finance

Volume

1(1)

Pages / Article No.

1 - 13

Publisher

Routledge

Subject

Nested Archimedean copula; Hierarchial dependence structure; CDO; Monte-Carlo pricing

Organisational unit

03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)

Notes

Received 13 February 2008, In final form 18 November 2009.

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ETH Bibliography

yes

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