Fast valuation of forward-starting basket default swaps (Q3564988)
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scientific article; zbMATH DE number 5712990
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| default for all languages | No label defined |
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| English | Fast valuation of forward-starting basket default swaps |
scientific article; zbMATH DE number 5712990 |
Statements
FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS (English)
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27 May 2010
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credit derivatives
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forward-starting basket default swaps
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conditional independence
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hybrid methods
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0.8416041731834412
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0.7853899002075195
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0.7712559700012207
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0.7686021327972412
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0.7667711973190308
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