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Q2978444 - MaRDI portal

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    Statements

    publication date
    25 April 2017
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    zbMATH Keywords
    synthetic CDO's
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    one-factor Vasicek model
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    pseudo compound Poisson distribution
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    recursive algorithm
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    62P05
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    60E10
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    62H05
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    65C20
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    91G20
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    91G40
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    zbMATH DE Number
    6707699
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