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Beyond the Gaussian copula: stochastic and local correlation

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https://hal-paris1.archives-ouvertes.fr/hal-03679529
Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Thursday, May 26, 2022 - 5:26:23 PM
Last modification on : Friday, May 27, 2022 - 3:02:27 AM

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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⟩

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