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

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Publication date
2011-06-16Author
Fadel, Sayed M.Supervisor
Shepherd, Simon J.Kenc, Turalay
Keyword
Lévy 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

The University of Bradford theses are licenced under a Creative Commons Licence.
Institution
University of BradfordDepartment
School of Engineering Design and Technology and School of ManagementAwarded
2010