"Quadratic Transform Approximation for CDO Pricing in Multifactor Models."

Paul Glasserman, Sira Suchintabandid (2012)

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DOI: 10.1137/110827399

access: closed

type: Journal Article

metadata version: 2017-05-17

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Paul Glasserman, Sira Suchintabandid:
Quadratic Transform Approximation for CDO Pricing in Multifactor Models. SIAM J. Financial Math. 3(1): 137-162 (2012)

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