搜索结果: 1-1 共查到“Large Homogeneous Pool”相关记录1条 . 查询时间(0.062 秒)
Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Investment-Grade Tranches Large Homogeneous Pool
2010/10/29
We use the theory of large deviations to study the pricing of investment-grade tranches of
synthetic CDO's. In this paper, we consider a simplied model which will allow us to introduce some of the c...