CDO pricing with nested Archimedean copulas - Research Collection

Metadata only

Author

Hofert, Marius

Scherer, Matthias

Date

2011

Type

Journal Article

Citations

Cited 32 times in Web of Science

ETH Bibliography

yes

Altmetrics

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.

More

Show all metadata

Citations

Cited 32 times in Web of Science

ETH Bibliography

yes

Altmetrics