Efficient hybrid methods for portfolio credit derivatives
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Publication:3437389
DOI10.1080/14697680600696312zbMath1134.91474OpenAlexW2133678120MaRDI QIDQ3437389
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Publication date: 9 May 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600696312
hybrid algorithmsnormal approximationsheterogeneous portfoliosbasket credit default swapsCDO squared distributions
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