JEL Classification D46
"Value Theory: Market Structure and Pricing"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the D46 classification. (sorted by date) Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009 A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009
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