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Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Investment-Grade Tranches Large Homogeneous Pool
2010/10/29
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 simpli ed model which will allow us to introduce some of the c...
Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
Investment-Grade Tranches Synthetic CDO's
2010/10/29
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-deviation...