Optimal bounds for integrals with respect to copulas and applications (Q398667): Difference between revisions

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+B80
@@ Property / Mathematics Subject Classification ID: 90B80 / rank @@
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+6330881
@@ Property / zbMATH DE Number: 6330881 / rank @@
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@@ Property / zbMATH Keywords @@
+linear assignment problems
@@ Property / zbMATH Keywords: linear assignment problems / rank @@
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@@ Property / zbMATH Keywords @@
+copulas
@@ Property / zbMATH Keywords: copulas / rank @@
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@@ Property / zbMATH Keywords @@
+Fréchet-Hoeffding bounds
@@ Property / zbMATH Keywords: Fréchet-Hoeffding bounds / rank @@
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@@ Property / zbMATH Keywords @@
+credit risk
@@ Property / zbMATH Keywords: credit risk / rank @@
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+uniform distribution theory
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+W2014763527
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+.1602
@@ Property / arXiv ID: 1401.1602 / rank @@
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@@ Property / cites work @@
+Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
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@@ Property / cites work @@
+Sharp Bounds for Sums of Dependent Risks
@@ Property / cites work: Sharp Bounds for Sums of Dependent Risks / rank @@
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@@ Property / cites work @@
+Latin hypercube sampling with dependence and applications in finance
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@@ Property / cites work @@
+Inequalities for distributions with given marginals
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@@ Property / cites work @@
+Q2893490
@@ Property / cites work: Q2893490 / rank @@
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@@ Property / cites work @@
+Tail asymptotics for dependent subexponential differences
+Normal rank
@@ Property / cites work @@
+Sharp bounds on the expected shortfall for a sum of dependent random variables
+Normal rank
@@ Property / cites work @@
+Solution of a statistical optimization problem by rearrangement methods
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@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
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@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
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@@ Property / cites work @@
+Assignment Problems
@@ Property / cites work: Assignment Problems / rank @@
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@@ Property / cites work @@
+Proofs of Two Theorems on Doubly-Stochastic Matrices
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@@ Property / cites work @@
+Q5692271
@@ Property / cites work: Q5692271 / rank @@
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@@ Property / cites work @@
+Q3184619
@@ Property / cites work: Q3184619 / rank @@
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@@ Property / cites work @@
+A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING
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@@ links / mardi / name / links / mardi / name @@
+Publication:398667