Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform
AuthorFadel, Sayed M.
SupervisorShepherd, Simon J.
KeywordLévy Factor Copula
; Stochastic Correlated Lévy Factor Copula
; Lévy Random Factor Loading Copula
; Lévy Skew Alpha-Stable
; Generalized Hyperbolic
; Credit Default Swaps; CDS
; Collateralised debt obligation; CDO
; Fast Fourier Transform; FFT
; Very Fast Fourier Transform; VFFT
Rights© 2010 Shepherd, S. Name of copyright holder. This work is licensed under a Creative Commons Attribution-Non-Commercial-Share-Alike License (http://creativecommons.org/licenses/by-nc-nd/2.0/uk).
InstitutionUniversity of Bradford
DepartmentSchool of Engineering Design and Technology and School of Management