Constant proportion debt obligations (CPDOs): modeling and risk analysis

R. Cont 1 C. Jessen
1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
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Submitted on : Monday, June 10, 2013 - 11:22:47 AM
Last modification on : Friday, May 24, 2019 - 5:20:05 PM

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R. Cont, C. Jessen. Constant proportion debt obligations (CPDOs): modeling and risk analysis. Quantitative Finance, Taylor & Francis (Routledge), 2012, 12 (8), pp.1199-1218. ⟨10.1080/14697688.2012.690885⟩. ⟨hal-00832149⟩

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