Login / Signup

Pricing CDS index tranches under thinning-dependence structure with regime switching.

Wanrong MuSung Nok ChiuGuojing Wang
Published in: J. Comput. Appl. Math. (2024)
Keyphrases
  • dependence structure
  • higher order statistics
  • marginal distributions
  • multiscale
  • edge detection
  • markov networks
  • feature extraction
  • reinforcement learning
  • feature space
  • hidden markov models