Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
Year of publication: |
2014
|
---|---|
Authors: | Veremyev, Alexander ; Tsyurmasto, Peter ; Uryasev, Stan ; Rockafellar, R. |
Published in: |
Computational Management Science. - Springer. - Vol. 11.2014, 4, p. 341-364
|
Publisher: |
Springer |
Subject: | OR banking | Convex optimization | Convex-concave-convex probability distribution | Implied copula | CDO pricing | 90 (Operations Research | Mathematical Programming) |
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