CDO pricing with nested Archimedean copulas
Publication status
publishedJournal / series
Quantitative FinanceVolume
Pages
Publisher
Routledge; Taylor & FrancisSubject
Nested Archimedean copula; Hierarchial dependence structure; CDO; Monte-Carlo pricingOrganisational unit
03288 - Embrechts, Paul
Notes
Received 13 February 2008, In final form 18 November 2009.More
Show all metadata