Calibration of multivariate generalized hyperbolic distributions using the EM algorithm, with applications in risk management, portfolio optimization and portfolio credit risk

Description

Thesis (Ph. D.)--Florida State University, 2005. / Advisor: Alec Kercheval, Florida State University, College of Arts and Sciences, Dept. of Mathemematics. Title and description from dissertation home page (viewed Jan. 26, 2006). Document formatted into pages; contains xii, 103 pages. Includes bibliographical references.

Links & Downloads

1. http://etd.lib.fsu.edu/theses/available/etd-10312005-131627

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Additional Fields

Identifer	oai:union.ndltd.org:OCLC/oai:xtcat.oclc.org:OCLCNo/63539315
Date	January 2005
Creators	Hu, Wenbo. Kercheval, Alec.
Source Sets	OCLC
Language	English
Detected Language	English
Type	electronic dissertation