Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions.
Jiang-Lun WuWei YangPublished in: Math. Comput. Model. (2013)
Keyphrases
- diffusion processes
- diffusion process
- denoising
- information diffusion
- partial differential equations
- heavy tails
- anisotropic diffusion
- probability distribution
- random variables
- scale spaces
- markov chain
- total variation
- nonlinear diffusion
- diffusion equation
- social networks
- multiscale
- edge preserving
- content analysis
- natural images
- structure tensor
- image registration