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  • Search: subject:"Convex-concave-convex probability distribution"
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Year of publication
Subject
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CDO pricing 2 Convex optimization 2 Convex-concave-convex probability distribution 2 Implied copula 2 OR banking 2 90 (Operations Research 1 90 (Operations Research, Mathematical Programming) 1 Asset-Backed Securities 1 Asset-backed securities 1 Credit derivative 1 Credit risk 1 Derivat 1 Derivative 1 Kreditderivat 1 Kreditrisiko 1 Mathematical Programming) 1 Mathematical programming 1 Mathematische Optimierung 1 Multivariate Verteilung 1 Multivariate distribution 1 Operations Research 1 Operations research 1 Option pricing theory 1 Optionspreistheorie 1 Probability theory 1 Statistical distribution 1 Statistische Verteilung 1 Wahrscheinlichkeitsrechnung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Tsyurmasto, Peter 2 Uryasev, Stan 2 Veremyev, Alexander 2 Rockafellar, R. 1 Rockafellar, Ralph Tyrrell 1
Published in...
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Computational Management Science 1 Computational Management Science : CMS 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science 11 (2014) 4, pp. 341-364
This paper considers a class of functions referred to as convex-concave-convex (CCC) functions to calibrate unimodal or multimodal probability distributions. In discrete case, this class of functions can be expressed by a system of linear constraints and incorporated into an optimization...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010949668
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Cover Image
Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing
Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science : CMS 11 (2014) 4, pp. 341-364
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010437154
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