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Exact Pricing Asymptotics Of Investment-Grade Tranches Of Synthetic Cdo'S: A Large Homogeneous Pool

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  • RICHARD B. SOWERS

    (Department of Mathematics, University of Illinois at Urbana–Champaign, Urbana, IL 61801, USA)

Abstract

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 simplified model which will allow us to introduce some of the concepts and calculations.

Suggested Citation

  • Richard B. Sowers, 2010. "Exact Pricing Asymptotics Of Investment-Grade Tranches Of Synthetic Cdo'S: A Large Homogeneous Pool," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 367-401.
    • Handle: RePEc:wsi:ijtafx:v:13:y:2010:i:03:n:s0219024910005814
    DOI: 10.1142/S0219024910005814
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    Citations

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    Cited by:

    1. Pierre Rostan & Alexandra Rostan & François-Éric Racicot, 2020. "Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 1-35, January.
    2. Spiliopoulos, Konstantinos & Sowers, Richard B., 2011. "Recovery rates in investment-grade pools of credit assets: A large deviations analysis," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2861-2898.

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