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Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing.
Alexander Veremyev
Peter Tsyurmasto
Stan Uryasev
R. Tyrrell Rockafellar
Published in:
Comput. Manag. Sci. (2014)
Keyphrases
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probability distribution
convex concave
convex functions
random variables
evolutionary algorithm