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

2009/03/25 by Richard B. Sowers, Sowers, Richard B.
Economics, Econometrics and Finance · #FOS: Economics and business #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications #q-fin.PR

paper · pdf · doi:10.48550/arxiv.0903.4475

arxiv created 2009/03/25 · openalex publication_date 2009/03/25 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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