搜索结果: 1-3 共查到“知识库 管理经济学 correlation”相关记录3条 . 查询时间(0.052 秒)
On break-even correlation: the way to price structured credit derivatives by replication
CDO replication Gaussian Copula structural models
2012/4/28
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consis...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula Stochastic Recovery Bottom-up Top-down
2010/4/28
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models t...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Dierentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
2010/4/28
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...