"Calibrating probability distributions with convex-concave-convex ..."

Alexander Veremyev et al. (2014)

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DOI: 10.1007/S10287-013-0176-4

access: closed

type: Journal Article

metadata version: 2020-05-10

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Alexander Veremyev, Peter Tsyurmasto, Stan Uryasev, R. Tyrrell Rockafellar:
Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing. Comput. Manag. Sci. 11(4): 341-364 (2014)

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