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CDO pricing with nested Archimedean copulas - MaRDI portal

CDO pricing with nested Archimedean copulas (Q3005366)

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CDO pricing with nested Archimedean copulas
scientific article

    Statements

    title
    CDO pricing with nested Archimedean copulas (English)
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    author
    Marius Hofert
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    Matthias Scherer
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    publication date
    7 June 2011
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    zbMATH Keywords
    nested Archimedean copula
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    hierarchial dependence structure
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    CDO
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    Monte Carlo pricing
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    Identifiers

    Mathematics Subject Classification ID
    91B25
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    91G20
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    91G40
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    62P05
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    91G70
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    zbMATH DE Number
    5904940
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    OpenAlex ID
    W1978419122
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