Looking for two papers on correlation trading
Posted: May 11th, 2007, 10:51 am
I'm wondering if anyone has the following papers:Calamaro, J-P., T. Nassar, K. Thakkar, and J. Tierney, 2004, "Trading Index Tranche Products: The First Steps", Quantitative Credit Strategy, Deutsche Bank.Gibson, M.S., M. Shchetkovskiy and A. Kakodkar, 2004, "Basket Default Swap Valuation", Credit Derivatives, Merrill Lynch.My email address is rleeuk@gmail.comThanks a lot!