scientific article; zbMATH DE number 5499203
From MaRDI portal
Publication:5506193
zbMath1154.91421MaRDI QIDQ5506193
Wim Schoutens, Sophie A. Ladoucette, Hansjoerg Albrecher
Publication date: 28 January 2009
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (16)
Cliquet option pricing with Meixner processes ⋮ Dependent defaults and losses with factor copula models ⋮ Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ A Multivariate Default Model with Spread and Event Risk ⋮ Pricing CDO tranches in an intensity based model with the mean reversion approach ⋮ Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ A generic framework for stochastic loss-given-default ⋮ \(H\)-extendible copulas ⋮ Extendibility of Marshall-Olkin distributions and inverse Pascal triangles ⋮ Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time ⋮ The crash-NIG factor model ⋮ Efficient wavelets-based valuation of synthetic CDO tranches ⋮ A structural jump-diffusion model for pricing collateralized debt obligations tranches ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ A framework for robust measurement of implied correlation ⋮ Block relaxation and majorization methods for the nearest correlation matrix with factor structure
This page was built for publication:
