Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool

24 Pages Posted: 10 Apr 2009 Last revised: 22 Jun 2009

See all articles by Richard Sowers

Richard Sowers

University of Illinois at Urbana-Champaign - Department of Mathematics

Date Written: April 9, 2009

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.

Keywords: synthetic CDO's, large deviations, investment-grade tranches

JEL Classification: C63

Suggested Citation

Sowers, Richard, Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool (April 9, 2009). Available at SSRN: https://ssrn.com/abstract=1375662 or http://dx.doi.org/10.2139/ssrn.1375662

Richard Sowers (Contact Author)

University of Illinois at Urbana-Champaign - Department of Mathematics ( email )

1409 W. Green St.
Urbana, IL 61801
United States

HOME PAGE: http://www.math.uiuc.edu/~r-sowers/

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