Pricing CDOs with Correlated Variance Gamma Distributions

By Thomas Moosbrucker. 2006

79 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9db61a4cdaed4b7e50f4c2d36c8424123a67fcc3

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1. Thomas R. Hurd

Citations in the corpus

• Multivariate asset models using Lévy processes and applications (2012, unknown): “This is the case discussed by Moosbrucker (2006a) .”
• Credit Risk Modeling Using Time-Changed Brownian Motion (2009, methodology): “This concept is not new, having been used for example by Moosbrucker [30] and Baxter [4] in their computations of basket credit derivatives, but to our knowledge its modeling implications have not yet been fully explored.”