Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models
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چکیده
منابع مشابه
Accelerating an Analytical Approach to Collateralized Debt Obligation
Accelerating an Analytical Approach to Collateralized Debt Obligation Pricing Dharmendra Prasad Gupta Master of Applied Science Graduate Department of Electrical and Computer Engineering University of Toronto 2009 In recent years, financial simulations have gotten computationally intensive due to larger portfolio sizes, and an increased demand to perform real-time risk analysis. In this paper, ...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2009
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680802464428