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Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing.

Alexander VeremyevPeter TsyurmastoStan UryasevR. Tyrrell Rockafellar
Published in: Comput. Manag. Sci. (2014)
Keyphrases
  • probability distribution
  • convex concave
  • convex functions
  • random variables
  • evolutionary algorithm