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Paper detail

CDO term structure modelling with Levy processes and the relation to market models

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipović, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional Lévy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we study the relation to market models by embedding them in the forward rate framework in spirit of Brace, Gatarek and Musiela (1997).

preprint2010arXivOpen access
Thorsten SchmidtJerzy Zabczyk
q-fin.PRmath.PR
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Thorsten SchmidtJerzy Zabczyk

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