A semiparametric factor model for CDO surfaces dynamics (Q268745)

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A semiparametric factor model for CDO surfaces dynamics
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    title
    A semiparametric factor model for CDO surfaces dynamics (English)
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    author
    Ostap Okhrin
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    Wolfgang Karl Härdle
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    publication date
    15 April 2016
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    Mathematics Subject Classification ID
    62P05
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    62G05
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    62H12
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    62H25
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    62M20
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    91G40
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    zbMATH DE Number
    6569582
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    zbMATH Keywords
    CDO
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    curve trade
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    dynamic factor model
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    semiparametric model
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    surfaces dynamics
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