scientific article; zbMATH DE number 6961827

DOI10.11908/J.ISSN.0253-374X.2018.02.018zbMATH Open1413.91105MaRDI QIDQ4689012FDOQ4689012

Weifeng Ma, Li Hua Sun, Junjia Zhang

Publication date: 22 October 2018

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Laplace transformvariance reductionnumerical inversioncollateralized debt obligationsmultifactor copula models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Laplace transform (44A10)

Cited In (2)

• Pricing of CDOs based on the multivariate Wang transform
• Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula

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