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Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model.

Zhe ChenQunfang BaoShenghong LiJianli Chen
Published in: Appl. Math. Comput. (2012)
Keyphrases
  • computational model
  • high level
  • cost function
  • probability distribution
  • management system
  • mathematical model
  • formal model
  • heavy tailed
  • prior knowledge
  • probabilistic model
  • mixture model
  • linear model
  • semi parametric