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On Default Correlation and Pricing of Collateralized Debt Obligation by Copula Functions.
Ping Li
Hou-Sheng Chen
Xiaotie Deng
Shunming Zhang
Published in:
Int. J. Inf. Technol. Decis. Mak. (2006)
Keyphrases
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short term
multi agent systems
correlation coefficient
historical data
high correlation
option pricing
correlation function
neural network
decision making
least squares
basis functions
gaussian mixture
stock price
joint distribution