Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model
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Publication:2018976
DOI10.1016/j.amc.2012.09.014zbMath1309.91139OpenAlexW2092254518MaRDI QIDQ2018976
Qunfang Bao, Zhe Chen, Jian-Li Chen, Sheng-Hong Li
Publication date: 26 March 2015
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2012.09.014
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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