Analysis of Convertible Bond Value Based on Integration of Support Vector Machine and Copula Function

DOI10.1080/03610918.2011.589744zbMath1227.62091OpenAlexW2051969976MaRDI QIDQ3102905

Chuanhe Shen, Xiang-Rong Wang

Publication date: 25 November 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.589744

zbMATH Keywords

statistical learning theorysupport vector machine (SVM)bivariate dependence structure

Mathematics Subject Classification ID

Computational learning theory (68Q32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Saliency analysis of support vector machines for gene selection in tissue classification
• Regularization networks and support vector machines
• PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY

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