Showing results 1 to 4 of 4
Title | Author(s) | Issue Date | Views | |
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CDO pricing with nested Archimedean copulas Journal:Quantitative Finance | 2011 | |||
Constructing hierarchical Archimedean copulas with Lévy subordinators Journal:Journal of Multivariate Analysis | 2010 | |||
Modeling the evolution of implied CDO correlations Journal:Financial Markets and Portfolio Management | 2010 | |||
Multivariate Hierarchical Copulas with Shocks Journal:Methodology and Computing in Applied Probability | 2010 |