Beyond the Gaussian copula: stochastic and local correlation

X Burtschell, J. Gregory and Jean-Paul Laurent ()
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X Burtschell: BNP-Paribas
J. Gregory: BNP-Paribas
Jean-Paul Laurent: ISFA - Institut de Science Financière et d'Assurances

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Date: 2007-03
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Published in Journal of Credit Risk, 2007, 3 (1), pp.31-62. ⟨10.21314/JCR.2007.059⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679529

DOI: 10.21314/JCR.2007.059

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