INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
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Publication:5299994
DOI10.1142/S0219024913500088zbMath1266.91119MaRDI QIDQ5299994
Stéphane Crépey, Dongli Wu, Monique Jeanblanc-Picqué
Publication date: 24 June 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)
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