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Normal inverse gaussian distribution for synthetic CDO pricing

Kalemanova, Anna Et al.

Normal inverse gaussian distribution for synthetic CDO pricing 2007 - 2007 - 80 - 93 V. 14 Issue. 3

Subjects--Topical Terms:
Derivaties

Subjects--Index Terms: Large Homogeneous Portfolio;LHP;Normal Inverse Gaussian;NIG;Copula model;

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