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Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes.
Ernst Eberlein
Zorana Grbac
Thorsten Schmidt
Published in:
SIAM J. Financial Math. (2013)
Keyphrases
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probabilistic model
computational models
complex systems
statistical models
machine learning
genetic algorithm
maximum likelihood
machine learning algorithms
process model
statistical model
experimental data
bayesian framework
accurate models