Normal approximation for call function by refined Lindeberg principle
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Cites work
- A generalization of the Lindeberg principle
- A probability approximation framework: Markov process approach
- An empirical study of pricing and hedging collateralized debt obligation (CDO)
- Anisotropic local laws for random matrices
- Applications of the Lindeberg Principle in Communications and Statistical Learning
- Central limit theorems and bootstrap in high dimensions
- Convergence in distribution norms in the CLT for non identical distributed random variables
- Gaussian and Poisson approximation: applications to CDOs tranche pricing
- Gaussian approximation of suprema of empirical processes
- Normal Approximation by Stein’s Method
- Normal approximation for call function via Stein’s method
- On the empirical spectral distribution for matrices with long memory and independent rows
- On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries
- Poisson approximation for call function via Stein-Chen method
- Poisson approximation for the expectation of call function with application in collateralized debt obligation
- Polynomial chaos and scaling limits of disordered systems
- Random matrices: universality of local eigenvalue statistics
- Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
- Stein's method and zero bias transformation for CDO tranche pricing
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