合成CDO的投资级份额的精确定价渐近性。部分II：大型异构池
Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool
摘要：
我们使用大偏差理论来研究合成CDO的投资级份额的定价。在本文中，我们考虑一个异构池的名称。我们的主要工具是大偏差分析，它使我们能够精确地研究大量特殊随机性的行为。我们的计算允许对相关性进行相当一般的处理。
英文摘要：
We use the theory of large deviations to study the pricing of investment-grade tranches of synthetic CDO's. In this paper, we consider a heterogeneous pool of names. Our main tool is a large-deviations analysis which allows us to precisely study the behavior of a large amount of idiosyncratic randomness. Our calculations allow a fairly general treatment of correlation.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
