Stein's method and zero bias transformation for CDO tranche pricing.
Nicole El KarouiYing JiaoPublished in: Finance Stochastics (2009)
Keyphrases
- detection method
- error rate
- significant improvement
- high accuracy
- objective function
- neural network
- dynamic programming
- linear transformation
- main contribution
- computational cost
- prior knowledge
- pairwise
- video sequences
- computationally efficient
- theoretical analysis
- optimization algorithm
- clustering method
- artificial neural networks
- synthetic data
- fully automatic
- optimization method