Pricing basket default swaps in a tractable shot noise model (Q553040): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 91G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C20
@@ Property / Mathematics Subject Classification ID: 65C20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5932080
@@ Property / zbMATH DE Number: 5932080 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+credit risk
@@ Property / zbMATH Keywords: credit risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+intensity-based models
@@ Property / zbMATH Keywords: intensity-based models / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dependence modelling
@@ Property / zbMATH Keywords: dependence modelling / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+shot noise
@@ Property / zbMATH Keywords: shot noise / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+\(k\)th-to-default swaps
@@ Property / zbMATH Keywords: \(k\)th-to-default swaps / rank @@
+Normal rank

Revision as of 14:06, 1 July 2023