We consider a multivariate survival distribution derived from an inverse Gaussian mixture of exponential distributions. The variables of this multivariate distribution are shown to exhibit total ...
CATALOG DESCRIPTION: Fundamentals of random variables; mean-squared estimation; limit theorems and convergence; definition of random processes; autocorrelation and stationarity; Gaussian and Poisson ...
This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...
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