Pricing basket default swaps using quasi-analytic techniques (Q2044822)
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scientific article; zbMATH DE number 7380458
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing basket default swaps using quasi-analytic techniques |
scientific article; zbMATH DE number 7380458 |
Statements
Pricing basket default swaps using quasi-analytic techniques (English)
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10 August 2021
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discrete Fourier transform
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fast Fourier transform
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copulas
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convolution
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basket default swaps
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characteristics function
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probability distributions
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0.7980473041534424
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0.7911157608032227
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0.7902489304542542
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0.789517343044281
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0.7671675682067871
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