•  Higher Order Large Deviation Approximations applied to CDO Pricing (March 2007): 

     LVeilex_Large_Deviations_CDO_pricing.pdf        

 Abstract: We propose a Large Deviation approximation for the loss distribution of a credit portfolio and compare it together with higher order Saddle-point and Edgeworth expansions with the standard recursion method for the pricing of CDO tranches
 

•  CDO Loss Term-structure Expansions in a Fatal-Shock Framework (April 2008): 

     LVeilex_CDO_Loss_expansions.pdf

 Abstract: We present a numerical expansion of the forward loss of CDO tranches in the case of fatal-Shock models (also called Marshall-Olkin). The method is very fast and can be compared with Saddle-point and Recursion methods for factor copulas. The benefit of the
framework is to allow a term structure of spreads and correlation
with a natural understanding of the correlation structure.