Pricing of CDOs based on the multivariate Wang transform (Q609828)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of CDOs based on the multivariate Wang transform |
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Pricing of CDOs based on the multivariate Wang transform (English)
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1 December 2010
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one-factor Gaussian copula model
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Merton's structural model
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multivariate Wang transform
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Student \(t\) copula
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