Acknowledgments

I would like to thank Alexandre Antonov, Igor Halperin, Serguei Issakov, Alex Lipton, Timur Misirpashaev, Frédéric Vrins, and Igor Zaoutine for useful discussions. I am grateful to my colleagues at Numerix and especially to Gregory Whitten for support of this work.

References

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Antonov, A., S. Mechkov, and T. Misirpashaev. 2007. Analytical techniques for synthetic CDOs and credit default risk measures. Wilmott (November–December): 84–105.