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On the computation of the minimal polynomial of a polynomial matrix

100%

Karampetakis N. P., Tzekis P.

International Journal of Applied Mathematics and Computer Science

2005

tom 15

nr 3

339-349

The main contribution of this work is to provide two algorithms for the computation of the minimal polynomial of univariate polynomial matrices. The first algorithm is based on the solution of linear matrix equations while the second one employs DFT techniques. The whole theory is illustrated with examples.

On the computation of the GCD of 2-D polynomials

100%

Tzekis P., Karampetakis N. P., Terzidis H. K.

International Journal of Applied Mathematics and Computer Science

2007

tom 17

nr 4

463-470

The main contribution of this work is to provide an algorithm for the computation of the GCD of 2-D polynomials, based on DFT techniques. The whole theory is implemented via illustrative examples.

Dependent defaults and losses with factor copula models

75%

Ackerer D., Vatter T.

Dependence Modeling

2017

tom 5

nr 1

375-399

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.

Ograniczanie wyników

2 International Journal of Applied Mathematics and Computer Science

1 Dependence Modeling

2 Karampetakis N. P.

2 Tzekis P.

1 Ackerer D.

1 Terzidis H. K.

1 Vatter T.

1 2017

1 2007

1 2005

Wyniki wyszukiwania

On the computation of the minimal polynomial of a polynomial matrix

On the computation of the GCD of 2-D polynomials

Dependent defaults and losses with factor copula models