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Journal Articles Journal of Derivatives Year : 2009

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

X. Burtschell
  • Function : Author
BNP-Paribas
Jonathan Gregory
  • Function : Author
Jean-Paul Laurent
Institut de Science Financière et d'Assurances

Domains

Computational Finance [q-fin.CP] Pricing of Securities [q-fin.PR]

Jean-Paul LAURENT  : Connect in order to contact the contributor

https://hal-paris1.archives-ouvertes.fr/hal-03676448

Submitted on : Monday, May 23, 2022-11:43:00 PM

Last modification on : Tuesday, May 24, 2022-3:03:27 AM

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hal-03676448 , version 1 (23-05-2022)

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X. Burtschell, Jonathan Gregory, Jean-Paul Laurent. A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework. Journal of Derivatives, 2009, 16 (4), pp.9-37. ⟨10.3905/JOD.2009.16.4.009⟩. ⟨hal-03676448⟩

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