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Consistent Valuation of Bespoke CDO Tranches
Bespoke CDO Tranches arbitrage-free pricing methodology multi-factor
2010/4/28
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known f...
Illiquidity and Derivative Valuation
Stochastic dierential games illiquidity market impact derivative valuation
2010/10/29
In illiquid markets, option traders may have an incentive to increase their portfolio value
by using their impact on the dynamics of the underlying. We provide a mathematical framework
within which ...