Pricing CDO tranches in an intensity based model with the mean reversion approach
نویسندگان
چکیده
منابع مشابه
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Service) collaborative project for which we are very grateful. The authors also thank Marek Rutkowski for useful discussions and comments.
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2010
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2010.05.012