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Erratum: "Empirical Copulas For Cdo Tranche Pricing Using Relative Entropy"

Author

Listed:
  • MICHAEL A. H. DEMPSTER

    (Centre for Financial Research, Judge Business School, University of Cambridge, United Kingdom;
    Cambridge Systems Associates Limited, Cambridge, United Kingdom)

  • ELENA A. MEDOVA

    (Centre for Financial Research, Judge Business School, University of Cambridge, United Kingdom;
    Cambridge Systems Associates Limited, Cambridge, United Kingdom)

  • SEUNG W. YANG

    (Centre for Financial Research, Judge Business School, University of Cambridge, United Kingdom;
    Cambridge Systems Associates Limited, Cambridge, United Kingdom)

Abstract

No abstract received.

Suggested Citation

  • Michael A. H. Dempster & Elena A. Medova & Seung W. Yang, 2007. "Erratum: "Empirical Copulas For Cdo Tranche Pricing Using Relative Entropy"," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(07), pages 1255-1260.
    • Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:07:n:s0219024907004639
    DOI: 10.1142/S0219024907004639
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    Citations

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    Cited by:

    1. Tapiero, Oren J., 2013. "A maximum (non-extensive) entropy approach to equity options bid–ask spread," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(14), pages 3051-3060.
    2. Alexander Veremyev & Peter Tsyurmasto & Stan Uryasev & R. Rockafellar, 2014. "Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing," Computational Management Science, Springer, vol. 11(4), pages 341-364, October.
    3. Cassio Neri & Lorenz Schneider, 2011. "A Family of Maximum Entropy Densities Matching Call Option Prices," Papers 1102.0224, arXiv.org.
    4. Cassio Neri & Lorenz Schneider, 2012. "Maximum entropy distributions inferred from option portfolios on an asset," Finance and Stochastics, Springer, vol. 16(2), pages 293-318, April.
    5. Ba Chu & Stephen Satchell, 2016. "Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence," Econometrics, MDPI, vol. 4(2), pages 1-21, March.

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