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Quantitative Finance Volume 10, 2010 - Issue 3
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Research Papers

Pricing a CDO on stochastically correlated underlyings

Marcos Escobar Department of Mathematics, Ryerson University, 350 Victoria St., Toronto, M5B 2K3 Ontario, CanadaCorrespondence[email protected]
,
Barbara Götz HVB-Institute for Mathematical Finance, Munich University of Technology, Boltzmannstr. 3, 85747 Garching, Munich, Germany
,
Luis Seco Department of Mathematics, University of Toronto, Toronto, M5S 2E4 Ontario, Canada
&
Rudi Zagst HVB-Institute for Mathematical Finance, Munich University of Technology, Boltzmannstr. 3, 85747 Garching, Munich, Germany
Pages 265-277 | Received 10 Apr 2008, Accepted 14 Nov 2008, Published online: 25 Jun 2009

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Read on this site (5)

Marcos Escobar-Anel, Sebastian Ferrando, Christoph Gschnaidtner & Alexey Rubtsov. (2022) International portfolio choice under multi-factor stochastic volatility. Quantitative Finance 22:6, pages 1193-1216.
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Marcos Escobar. (2018) A stochastic volatility factor model of heston type. Statistical properties and estimation. Stochastics 90:2, pages 172-199.
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Marcos Escobar, Sebastian Ferrando & Alexey Rubtsov. (2017) Optimal investment under multi-factor stochastic volatility. Quantitative Finance 17:2, pages 241-260.
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Marcos Escobar, Barbara Götz, Daniela Neykova & Rudi Zagst. (2014) Stochastic Correlation and Volatility Mean-reversion – Empirical Motivation and Derivatives Pricing via Perturbation Theory. Applied Mathematical Finance 21:6, pages 555-594.
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M. Escobar-Anel, M. Kschonnek & R. Zagst. Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model. Quantitative Finance 0:0, pages 1-21.
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Articles from other publishers (12)

Jiangyan Pu & Qi Zhang. (2021) Robust consumption portfolio optimization with stochastic differential utility. Automatica 133, pages 109835.
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Marcos Escobar-Anel & Zhenxian Gong. (2021) Mean-Reverting 4/2 Principal Components Model. Financial Applications. Risks 9:8, pages 141.
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Hang Wang & Zhijun Hu. (2020) Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. Chaos, Solitons & Fractals 138, pages 109775.
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Tingjin Yan, Bingyan Han, Chi Seng Pun & Hoi Ying Wong. (2020) Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility. Mathematics and Financial Economics 14:4, pages 699-724.
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Marcos Escobar & Christoph Gschnaidtner. (2017) A multivariate stochastic volatility model with applications in the foreign exchange market. Review of Derivatives Research 21:1, pages 1-43.
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Marcos Escobar, Benedikt Rudolph & Rudi Zagst. (2016) Algorithm 963. ACM Transactions on Mathematical Software 42:4, pages 1-26.
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Daniela Neykova, Marcos Escobar & Rudi Zagst. (2015) Optimal investment in multidimensional Markov-modulated affine models. Annals of Finance 11:3-4, pages 503-530.
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MARCOS ESCOBAR, BARBARA GÖTZ, DANIELA NEYKOVA & RUDI ZAGST. (2015) PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION. International Journal of Theoretical and Applied Finance 18:03, pages 1550018.
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Marcos Escobar & Pablo Olivares. (2013) Pricing of mountain range derivatives under a principal component stochastic volatility model. Applied Stochastic Models in Business and Industry 29:1, pages 31-44.
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Marcos Escobar, Hamidreza Arian & Luis Seco. (2012) CreditGrades Framework within Stochastic Covariance Models. Journal of Mathematical Finance 02:04, pages 303-313.
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Marcos Escobar, Sebastian Ferrando & Alexey Rubtsov. (2015) International Portfolio Choice Under Multi-Factor Stochastic Volatility. SSRN Electronic Journal.
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Marcos Escobar, Sebastian Ferrando & Alexey Rubtsov. (2015) Optimal Investment Under Multi-Factor Stochastic Volatility. SSRN Electronic Journal.
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