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CDO Loss Approximation
  • A Comparative Analysis of Basket Default Swaps Pricing Using the Stein Method , E.Benhamou, D.Bastide, M.Ciuca (2007)
  • Higher Order Large Deviation Approximations Applied to Cdo Pricing , L.Veilex (2007)
  • Saddlepoint approximation method for pricing CDOs , J.Yang (2006)
  • A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model , P.Okunev (2005)
  • Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model , P.Okunev (2005)
  • Tail Approximations for Portfolio Credit Risk , P.Glasserman (2004)





















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