FAST GAMMA COMPUTATIONS FOR CDO TRANCHES MARK JOSHI AND CHAO YANG Abstract. We demonstrate how to compute first- and second-order sensitivities of portfolio credit derivatives such as synthetic collateralized debt obliga - Compute! - Document - PDFSEARCH.IO

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	FAST GAMMA COMPUTATIONS FOR CDO TRANCHES MARK JOSHI AND CHAO YANG Abstract. We demonstrate how to compute first- and second-order sensitivities of portfolio credit derivatives such as synthetic collateralized debt obliga Add to Reading List Document Date: 2013-08-05 02:19:33 Open Document File Size: 316,43 KB Share Result on Facebook Currency pence / / / Facility University of Melbourne / / IndustryTerm recursive algorithms / recursive algorithm / financial products / risk management / / Organization Centre for Actuarial Studies / University of Melbourne / Victoria / Department of Economics / / Person CHAO YANG / Gregory / MARK JOSHI / Laurent / / Position rt / straight-forward / LIBOR market model / / ProgrammingLanguage C++ / / ProvinceOrState Victoria / / Technology following recursive algorithm / RAM / simulation / recursive algorithm / pricing algorithm / / URL http / SocialTag Structured finance Fixed income securities Mortgage-backed security Bonds Funds Collateralized debt obligation Credit derivative Synthetic CDO Copula Financial economics

FAST GAMMA COMPUTATIONS FOR CDO TRANCHES MARK JOSHI AND CHAO YANG Abstract. We demonstrate how to compute first- and second-order sensitivities of portfolio credit derivatives such as synthetic collateralized debt obligaAdd to Reading List