A CDO pricing model based on the mixture copula
type: Item
instance of: scholarly article
zbMATH Open document ID: 1289.91162
publication date: 2013-11-19T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H05
zbMATH DE Number: 6230539
zbMATH Keywords: copula
zbMATH Keywords: factor model
zbMATH Keywords: CDO pricing model
zbMATH Keywords: correlation smile
zbMATH Keywords: stochastic correlation
MaRDI profile type: Publication
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author: Jianli Chen
author: Zhen Liu
author: Qunfang Bao
author: Shenghong Li
title: A CDO pricing model based on the mixture copula
published in: Applied Mathematics. Series A (Chinese Edition)
description: scientific article; zbMATH DE number 6230539