The Gaussian Q-function is a fundamental statistical tool that plays a pivotal role in the analytical assessment of error probabilities within communication systems ...

Pantelis Samartsidis, Claudia R. Eickhoff, Simon B. Eickhoff, Tor D. Wager, Lisa Feldman Barrett, Shir Atzil, Timothy D. Johnson, Thomas E. Nichols Journal of the Royal Statistical Society. Series C ...

Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all trades between each counterparty under both market and credit risk. We present a ...

This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...