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- W1605320742 abstract "We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a simplified model which will allow us to introduce some of the concepts and calculations." @default.
- W1605320742 created "2016-06-24" @default.
- W1605320742 creator A5018183293 @default.
- W1605320742 date "2009-01-01" @default.
- W1605320742 modified "2023-09-26" @default.
- W1605320742 title "Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool" @default.
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- W1605320742 doi "https://doi.org/10.2139/ssrn.1375662" @default.
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