Fast Pricing of Basket Default Swaps (Q3392172)

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Fast Pricing of Basket Default Swaps
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    title
    Fast Pricing of Basket Default Swaps (English)
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    author
    Zhi-yong Chen
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    Paul Glasserman
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    publication date
    13 August 2009
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    Mathematics Subject Classification ID
    91B28
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    62P05
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    93E20
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    zbMATH DE Number
    5595064
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