Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms

By Lan Bu, Ning Cai, Chenxi Xia, Jingping Yang

Published 2026-02-08

Everscope rating

1475.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Theoretical Framework with Linear Programming and Gamma-Distorted Copulas. Problem types: Risk Management, Portfolio Optimization, Pricing, Optimization, Density Estimation.

arXiv:2602.08039 · Paper rankings

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