Fast algorithm for nonparametric arbitrage-free SPD estimation
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Publication:1010575
DOI10.1016/j.csda.2006.08.006zbMath1157.62521MaRDI QIDQ1010575
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.006
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B24: Microeconomic theory (price theory and economic markets)
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