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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; Götz, B.; Seco, L.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Pricing of a CDO on Stochastically Correlated Underlyings 
Abstract:
In this paper, we propose a method to price Collateralized debt obligations (CDO) within Merton’s structural model on underlyings with a stochastic mean-reverting covariance dependence. There are two key elements in our development, first we reduce dimensionality and complexity using principal component analysis on the assets’ covariance matrix. Second, we approximate this continuous multidimensional structure using a tree method. Trinomial-tree models can be developed for both the principal com...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Quantitative Finance 
Year:
2010 
Journal volume:
10 
Journal issue:
Pages contribution:
265-277 
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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