Pricing CDO tranches in an intensity based model with the mean reversion approach.

Jiang-Lun Wu Wei Yang

Published in: Math. Comput. Model. (2010)

Keyphrases

mathematical model
data sets
theoretical analysis
probabilistic model
management system
computational model
prediction model
formal model
neural network model
experimental data
least squares
multiscale
statistical model
high level
image processing
linear regression
computer vision
neural network