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Moment Matching Approximation

Chapter
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Part of the BestMasters book series (BEST)

Abstract

In this chapter will be presented the "Analytical Pricing of CDOs in a Multi-factor Setting by a Moment Matching Approach" by Castagna, Mercurio and Mosconi (2012).

The model will be extended and implemented in the next two chapters.

Keywords

Asset Return Default Probability Asian Option Moment Match Collateralized Debt Obligation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Fachmedien Wiesbaden 2014

Authors and Affiliations

  1. 1.ViennaAustria

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