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References
Here are several references that I have found useful in the world of derivatives and structured finance:
Textbooks:
Hull, John C., Options, Futures, and Other Derivatives, Prentice Hall, New Jersey, 2003.
Purchase on Amazon.com
Publisher's website
Tavakoli, Janet M., Collateralized Debt Obligations & Structured Finance, John Wiley & Sons, Inc., Hoboken, New Jersey, 2003.
Purchase on Amazon.com
Publisher's website
Goodman, Laurie S. and Fabozzi, Frank J., Collateralized Debt Obligations: Structures and Analysis, John Wiley & Sons, Hoboken, New Jersey, 2002.
Purchase on Amazon.com
Publisher's website
White papers:
Burtschell, X., J. Gregory and J.-P. Laurent, “A Comparative Analysis of CDO pricing models,”
Working Paper, BNP Paribas, 2005.
Fender, Ingo and Kiff, John, "CDO rating methodology: Some thoughts on model risk and its implications," Monetary and Economic Department, November 2004.
Hull, J. and White. A., “Valuing Credit Default Swaps: No Counterparty Default Risk,”
Journal of Derivatives, Vol. 8, No. 1, (Fall 2000), pp. 29-40.
Hull, J., and White, A., “Valuing Credit Default Swaps II: Modeling Default Correlations,”
Journal of Derivatives, Vol. 8, No. 3, 2001, 12-22
Hull, J. and White, A., “Valuing Credit Default Swap Options” Journal of Derivatives,
10, 3 (Spring 2003) pp. 40-50.
Hull, J., and White, A., “Valuation of a CDO and nth to Default CDS Without Monte Carlo
Simulation,” Journal of Derivatives, Vol. 12, No. 2, 2004, 8-23.
Laurent, J-P and J. Gregory, “Basket Default Swaps, CDO’s and Factor Copulas,” Working
Paper, ISFA Actuarial School, University of Lyon, 2003
Li, D.X., “On Default Correlation: A Copula Approach” Journal of Fixed Income, 9
(March 2000), pp 43-54.
Longstaff, F.A. and Schwartz, E.S. “Valuing American Options by Simulation: A Simple Least
Squares Approach,” Review of Financial Studies, 14, 1 (Spring 2001), 113-47.
Merton, R., 1974, “On the Pricing of Corporate Debt: the Risk Structure of Interest Rates,”
Journal of Finance, Vol. 29, 1974, 449-470.
Servigny, A. and Renault, O., “Default Correlation: Empirical Evidence,” Working Paper,
Standard and Poors, 2002.