The<i>k</i>th default time distribution and basket default swap pricing (Q2866391): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/14697688.2010.494611 / rank | |||
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| Property / OpenAlex ID: W1997100450 / rank | |||
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| Property / cites work: Interest rate models -- theory and practice. With smile, inflation and credit / rank | |||
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| Property / cites work: Fast Pricing of Basket Default Swaps / rank | |||
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| Property / cites work: Efficient hybrid methods for portfolio credit derivatives / rank | |||
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Latest revision as of 03:37, 7 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The<i>k</i>th default time distribution and basket default swap pricing |
scientific article |
Statements
The<i>k</i>th default time distribution and basket default swap pricing (English)
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13 December 2013
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asset pricing
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applications to default risk
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continuous-time finance
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credit default swaps
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credit derivatives
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martingales
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stochastic differential equations
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