This paper develops numerical approximations for pricing collateralized debt obligations (CDOs)
and other portfolio credit derivatives in the multifactor Normal Copula model. A key …

… lower salary growth, while the opposite is true in the second fund, the two funds will require
very different styles of management. The objective of this paper is to provide an analysis of, …

… (Another popular measure of correlation is known as the base correlation, which is also … s
can be decomposed as s = Re s+iIms. Let C + denote the set of all complex number s with Re s …

… Solving (4) seems easy, provided that we know the information ratios Ii’s and the correlation
matrix R" of the manager’s excess returns realized in each asset class. However, it is not …

This article studies the importance of plan members’ heterogeneity to the management of
defined benefit (DB) pension fund. We propose a new multi-member model of DB pension fund …

… 𝑋 𝑖 > Φ −1 𝐹 𝑡 • Where 𝑋 𝑖 is standard normal and 𝐹 is cdf of 𝜏 𝑖 • Cannot specify
correlation structure that varies with 𝑡 • Attempt to turn 𝑋 𝑖 into a process … 𝑡 𝛿 𝑠 𝑖 𝑑𝑁 𝑠 …

One of the essential questions in finance is whether investor sentiment significantly affects
stock returns. The empirical literature has expanded the study to the developed stock markets. …

… time that is exponential in the number of factors. The purpose of this work is to develop …
We work within the Normal Copula model, which is the industry standard, and propose two …

… Permission to make digital or hard copies of part or all of this work for personal or classroom
use is granted without fee provided that copies are not made or distributed for profit or …

In this paper we test how different choices for the dependence function can affect the prices
of a set of multiasset equity options. We conduct the analysis for various 5-dimensional …