A CDO pricing model based on the mixture copula
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Publication:2860186
zbMATH Open1289.91162MaRDI QIDQ2860186
Jianli Chen, Shenghong Li, Zhen Liu, Qunfang Bao
Publication date: 19 November 2013
Published in: Applied Mathematics. Series A (Chinese Edition) (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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