CDO pricing with nested Archimedean copulas

DOI10.1080/14697680903508479zbMath1213.91074OpenAlexW1978419122MaRDI QIDQ3005366

Marius Hofert, Matthias Scherer

Publication date: 7 June 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903508479

zbMATH Keywords

CDOnested Archimedean copulahierarchial dependence structureMonte Carlo pricing

Mathematics Subject Classification ID

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Uses Software

• QRM

Cites Work

• Unnamed Item
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Sampling Archimedean copulas
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Sampling nested Archimedean copulas
• Families of Multivariate Distributions

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