Comparative Analyses of Correlation Skew Models
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === In this work, we present a comparative analysis of correlation skew models for pricing of CDOs. All of these models are based on the factor copula pricing framework and can generate correlation skews. The models compared are normal inverse Gaussian copula, stoch...
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67432984590202801846 |