Beyond the Gaussian copula: stochastic and local correlation - Université Paris 1 Panthéon-Sorbonne Access content directly
Journal Articles Journal of Credit Risk Year : 2007

Beyond the Gaussian copula: stochastic and local correlation

Dates and versions

hal-03679529 , version 1 (26-05-2022)

Identifiers

Cite

X Burtschell, J. Gregory, Jean-Paul Laurent. Beyond the Gaussian copula: stochastic and local correlation. Journal of Credit Risk, 2007, 3 (1), pp.31-62. ⟨10.21314/JCR.2007.059⟩. ⟨hal-03679529⟩

Collections

UNIV-PARIS1
9 View
0 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More