Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing
Alexander Veremyev; Peter Tsyurmasto; Stan Uryasev; R. Tyrrell Rockafellar
| Year of publication: |
2014
|
|---|---|
| Authors: | Veremyev, Alexander ; Tsyurmasto, Peter ; Uryasev, Stan ; Rockafellar, Ralph Tyrrell |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 11.2014, 4, p. 341-364
|
| Subject: | OR banking | Convex optimization | Convex-concave-convex probability distribution | Implied copula | CDO pricing | 90 (Operations Research, Mathematical Programming) | Mathematische Optimierung | Mathematical programming | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Kreditrisiko | Credit risk | Operations Research | Operations research | Wahrscheinlichkeitsrechnung | Probability theory | Kreditderivat | Credit derivative | Asset-Backed Securities | Asset-backed securities | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010437154