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Ken Jackson : Numerical Methods for the Valuation of Synthetic Collateralized Debt Obligations (CDOs)

Our numerical computation group has studied several problems in computational finance over the past decade. One that we've looked at recently is the pricing of "collateralized debt obligations" (CDOs). The market for CDOs has grown rapidly to over US$1 trillion annually in 2006, since the appearance of JP Morgan's Bistro deal, the first synthetic CDO, in December 1997. Much of the turmoil in the financial markets recently has been due to such credit derivatives. As this suggests, there are still many open problems associated with the pricing and hedging of these complex financial instruments. I will talk briefly about some work that we have done recently in this area.

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