Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing
Year of publication: |
2014
|
---|---|
Authors: | Veremyev, Alexander ; Tsyurmasto, Peter ; Uryasev, Stan ; Rockafellar, Ralph Tyrrell |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 11.2014, 4, p. 341-364
|
Subject: | OR banking | Convex optimization | Convex-concave-convex probability distribution | Implied copula | CDO pricing | 90 (Operations Research, Mathematical Programming) | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Operations Research | Operations research |
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