One Factor Dynamic Model pricing and forecast of Synthetic CDOs
碩士 === 國立政治大學 === 統計研究所 === 103 === The most widely used methods used application of Large Homogeneous Portfolio (LHP) assumption of the one factor copula model for pricing synthetic CDOs. The one factor Gaussian copula model was first used by O'Kane and Schloegl (2001) proposed, however, only...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/87096363106863017604 |