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Implementation

Chapter
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Part of the BestMasters book series (BEST)

Abstract

In the following chapter a numerical implementation of the Moment Matching techniques will be proposed, aiming to price the tranches of a CDX.

In the first section the pricing of the CDX tranches will be obtained by implementing the original model of Castagna et al. reported in chapter 5. This is the first time that the method is numerically implemented with real data. The first implementation will be denoted in the following as Gaussian, referring to the dependence chosen.

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Copyright information

© Springer Fachmedien Wiesbaden 2014

Authors and Affiliations

  1. 1.ViennaAustria

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