MAFS521 Mathematical Models of Investment

Course Outline

 

Lecture Note Topic One
Topic Two
Topic Three
Topic Four
Topic Five 

 
Homework set







CDO papers
Homework One          Solution
Homework Two          Solution
Homework Three
Homework Four
Reading Assignment

Reading material



JP Morgan - CDO Handbook
Nomura - CDOs-Squared Demystified
Benoit Metayer - CDO2, Correlation, Overlap and Subordination
Standard & Poors - Synthetic CDO Squared Transactions

Reading assignment on CDO-squared