P. 1
A Review of CDO Pricing

A Review of CDO Pricing

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Published by: sdgm1 on Feb 08, 2012
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In this chapter we review the numerical results for the general Gaussian cop-

ula and the other models presented in chapter 4 under the LHP assumption.

We apply the pricing tools to the Dow Jones iTraxx 5 Years index series 5

with maturity date 20 June 20111

at 13 April 2006. In the sequel the different

models are compared in terms of their ability to fit the market quotes, thus

fitting the correlation skew.

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