Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas (Q2276220)
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scientific article; zbMATH DE number 5934640
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| English | Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas |
scientific article; zbMATH DE number 5934640 |
Statements
Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas (English)
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1 August 2011
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credit risk
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Archimedean copula
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nested Archimedean copula
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basket default swap
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importance sampling
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0.88606554
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0.8680002
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0.8656277
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0.8514899
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0.85106516
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0.84870094
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0.84623307
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0.84350586
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