搜索结果: 1-1 共查到“货币银行学 Levy processes.”相关记录1条 . 查询时间(0.112 秒)
CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...