Showing results 1 to 4 of 4
| Title | Author(s) | Issue Date | |
|---|---|---|---|
CDO pricing with nested Archimedean copulas Journal:Quantitative Finance | 2011 | ||
Constructing hierarchical Archimedean copulas with Lévy subordinators Journal:Journal of Multivariate Analysis | 2010 | ||
Modeling the evolution of implied CDO correlations Journal:Financial Markets and Portfolio Management | 2010 | ||
Multivariate Hierarchical Copulas with Shocks Journal:Methodology and Computing in Applied Probability | 2010 |