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Deriving the Dependence Structure of Portfolio Credit Derivatives Using Evolutionary Algorithms.
Svenja Hager
Rainer Schöbel
Published in:
International Conference on Computational Science (4) (2006)
Keyphrases
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evolutionary algorithm
dependence structure
marginal distributions
higher order
higher order statistics
genetic algorithm
markov networks
probability distribution
reinforcement learning
multiscale
feature space
multiresolution
domain specific
graphical models
probabilistic graphical models
stochastic systems