CDO pricing with nested Archimedean copulas - Research Collection

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Author

Hofert, Marius

Scherer, Matthias

Date

2011

Type

Journal Article

Citations

Cited 31 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1080/14697680903508479

Journal / series

Quantitative Finance

Volume

1(1)

Pages / Article No.

1 - 13

Publisher

Routledge; Taylor & Francis

Subject

Nested Archimedean copula; Hierarchial dependence structure; CDO; Monte-Carlo pricing

Organisational unit

03288 - Embrechts, Paul (emeritus)

Notes

Received 13 February 2008, In final form 18 November 2009.

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Citations

Cited 31 times in Web of Science

ETH Bibliography

yes

Altmetrics