Valuation of collateralized debt obligations in a multivariate subordinator model.

Yunpeng Sun Rafael Mendoza-Arriaga Vadim Linetsky

Published in: WSC (2011)

Keyphrases

mathematical model
management system
data sets
machine learning
formal model
neural network
high level
cost function
probability distribution
em algorithm
computational model
experimental data
sensitivity analysis
prediction model
autoregressive
multivariate data