Pricing and Hedging of CDOs under a Regime Switching Asymptotic Single Factor Model
碩士 === 國立政治大學 === 金融研究所 === 103 === This paper presents the Large Homogeneous Portfolio (LHP) approach to the pricing of CDOs and we derive the one-factor copula model. It is popular that the one-factor copula models are very useful for risk management and measurement applications involving the gene...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/20456521443277787969 |
Search Result 1