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On the valuation of cashflow CSOs without Monte Carlo simulation.

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dc.contributor.advisor Gleeson, James P.
dc.contributor.author Villiers, Rory
dc.date.accessioned 2012-02-27T17:27:26Z
dc.date.available 2012-02-27T17:27:26Z
dc.date.issued 2011
dc.identifier.uri http://hdl.handle.net/10344/2054
dc.description peer-reviewed en_US
dc.description.abstract The most common method of pricing a cashflow collateralized debt obligation (cashflow CDO) is to use Monte Carlo integration. However, Monte Carlo integration is computationally intensive and often faster methods of pricing are required. Gallagher et al. (2009) proposed a semi-analytic approximation that allows fast pricing of cashflow CDOs.This thesis has two goals: (i) A self contained description of the mathematical background necessary for practical implementations of cash ow CDO pricing and (ii) a critical examination of the semi-analytic cashflow CDO pricing method proposed by Gallagher et al. (2009). We examine one of the main arguments in their paper surrounding the modality of the underlying probability distribution and suggest an alternative explanation for the accuracy of their method. With this new understanding, we describe the conditions under which the approximation will be most accurate. en_US
dc.description.sponsorship SFI grant 06/IN.1/I366 en_US
dc.language.iso eng en_US
dc.publisher University of Limerick en_US
dc.subject cashflow collateralized debt oblication en_US
dc.subject Monte Carlo integration en_US
dc.title On the valuation of cashflow CSOs without Monte Carlo simulation. en_US
dc.type Master thesis (Research) en_US
dc.type.supercollection all_ul_research en_US
dc.type.supercollection ul_published_reviewed en_US
dc.type.supercollection ul_theses_dissertations en_US
dc.type.restriction none en


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