A copula-based approach for generating lattices.
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- Review of Derivatives Research, 2015, v. 18, n. 3, p. 263, doi. 10.1007/s11147-015-9111-x
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- Article
Works matching IS 13806645 AND DT 2015 AND VI 18 AND IP 3
Results: 4
1
2
Do CDS spreads move with commonality in liquidity?
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- Review of Derivatives Research, 2015, v. 18, n. 3, p. 225, doi. 10.1007/s11147-015-9110-y
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- Publication type:
- Article
3
A note on the pricing of multivariate contingent claims under a transformed-gamma distribution.
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- Review of Derivatives Research, 2015, v. 18, n. 3, p. 291, doi. 10.1007/s11147-015-9112-9
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- Publication type:
- Article
4
Do correlated defaults matter for CDS premia? An empirical analysis.
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- Review of Derivatives Research, 2015, v. 18, n. 3, p. 191, doi. 10.1007/s11147-015-9109-4
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- Publication type:
- Article