CDO pricing with nested Archimedean copulas
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Publication:3005366
DOI10.1080/14697680903508479zbMATH Open1213.91074OpenAlexW1978419122MaRDI QIDQ3005366FDOQ3005366
Marius Hofert, Matthias Scherer
Publication date: 7 June 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903508479
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)
Cites Work
Cited In (43)
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