Lecture Notes-Monograph Series, Vol. 52, Time Series and Related Topics: In Memory of Ching-Zong Wei (2006), pp. 236-244 (9 pages) This exposition explains the basic ideas of Stein's method for ...
This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...
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