Xian Hua Peng, Steven G. Kou. Connecting the top-down to the bottom-up: Pricing CDO under a Conditional Survival (CS) model. In Scott J. Mason, Raymond R. Hill, Lars Mönch, Oliver Rose, Thomas Jefferson, John W. Fowler, editors, Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, WSC 2008, InterContinental Hotel, Miami, Florida, USA, December 7-10, 2008. pages 578-586, WSC, 2008. [doi]
Abstract is missing.