Pricing and Hedging of CDOs: A Top Down Approach

被引：0
|
作者：
Filipovic, Damir [1 ,2 ]
Schmidt, Thorsten [3 ]
机构：
[1] Ecole Polytech Fed Lausanne, Swiss Finance Inst, CH-1015 Lausanne, Switzerland
[2] Quartier UNIL Dorigny, Swiss Finance Inst, CH-1015 Lausanne, Switzerland
[3] Chemniz Univ Technol, Dept Math, D-09126 Chemnitz, Germany
来源：
CONTEMPORARY QUANTITATIVE FINANCE: ESSAYS IN HONOUR OF ECKHARD PLATEN | 2010年
关键词：
D O I：
10.1007/978-3-642-03479-4_13
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper considers the pricing and hedging of collateralized debt obligations (CDOs). CDOs are complex derivatives on a pool of credits which we choose to analyse in the top down model proposed in Filipovic et al. (Math. Finance, forthcoming, 2009). We reflect on the implied forward rates and bring them in connection with the top-down framework in Lipton and Shelton (Working paper, 2009) and Schonbucher (Working paper, ETH Zurich, 2005). Moreover, we derive variance-minimizing hedging strategies for hedging single tranches with the full index. The hedging strategies are given for the general case. We compute them also explicitly for a parsimonious one-factor affine model.
引用
收藏
页码：231 / +
页数：3
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