LIBROS DEL AUTOR: enrico marcantoni

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  • Collateralized Debt Obligations
    Enrico Marcantoni
    The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. The original method is developed by Castagna, Mercurio and Mosconi in 2012. The Thesis provides an extension of the original work by generalizing the Gaussian dependence in terms of Copula functions. In particular the model is rewritten for the specific case of the Clayton copula. The method...
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