The rearrangement algorithm: a useful tool to measure model risk when aggregating risks in portfolio selection, but also to price basket options, or to infer dependence using option prices.
Bernard, Carole
The rearrangement algorithm: a useful tool to measure model risk when aggregating risks in portfolio selection, but also to price basket options, or to infer dependence using option prices. - Rio de Janeiro: IMPA, 2019. - video online
Minicourse
Matematica.
cs
The rearrangement algorithm: a useful tool to measure model risk when aggregating risks in portfolio selection, but also to price basket options, or to infer dependence using option prices. - Rio de Janeiro: IMPA, 2019. - video online
Minicourse
Matematica.
cs