A note on the correlation smile
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Balakrishna, B S, 2006. "A Semi-Analytical Parametric Model for Dependent Defaults," MPRA Paper 14918, University Library of Munich, Germany, revised 15 May 2007.
More about this item
Keywordsdefault risk; CDOs; implied correlation smile; correlation matrx; heterogeneity;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:tuedps:297. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics). General contact details of provider: http://edirc.repec.org/data/wftuede.html .
We have no references for this item. You can help adding them by using this form .