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Paper / 2026SMQ / 118157238633041
Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms
Chenxi Xia / Jingping Yang / Lan Bu / Ning Cai
copulas / credit derivativesResource overview

Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms

Paper2026

by Chenxi Xia, Jingping Yang, Lan Bu, Ning Cai

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copulascredit derivatives

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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