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20112023
most citedThe hard edge tacnode process and the hard edge Pearcey process with non-intersecting squared Bessel paths

14 citations · 48 across the 7 of their papers we have counts for

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Showing 2011 · q-fin.CPShow all

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q-fin.CP2011

Analytic results and weighted Monte Carlo simulations for CDO pricing

Marcell Stippinger, Bálint Vető, Éva Rácz +1

We explore the possibilities of importance sampling in the Monte Carlo pricing of a structured credit derivative referred to as Collateralized Debt Obligation (CDO). Modeling a CDO…