INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
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Publication:5299994
DOI10.1142/S0219024913500088zbMath1266.91119MaRDI QIDQ5299994
Stéphane Crépey, Monique Jeanblanc-Picqué, Dongli Wu
Publication date: 24 June 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
91G40: Credit risk