Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool

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dc.creatorSowers, Richard B.
dc.date2009-03-25
dc.date.accessioned2026-07-07T12:56:58Z
dc.date.available2026-07-07T12:56:58Z
dc.descriptionWe use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a heterogeneous pool of names. Our main tool is a large-deviations analysis which allows us to precisely study the behavior of a large amount of idiosyncratic randomness. Our calculations allow a fairly general treatment of correlation.
dc.identifierhttps://arxiv.org/abs/0903.4478
dc.identifierhttp://arxiv.org/abs/0903.4478
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/224767
dc.subjectPricing of Securities
dc.titleExact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
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