摘要翻译：
本文利用大偏差理论研究了投资级合成CDO的定价问题。在本文中，我们考虑了一个异构的名称池。我们的主要工具是大偏差分析，它允许我们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普遍的处理。
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英文标题：
《Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic
  CDO's. Part II: A Large Heterogeneous Pool》
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作者：
Richard B. Sowers
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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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.
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PDF链接：
https://arxiv.org/pdf/0903.4478