An analytical formula for pricing \(m\)-th to default swaps

DOI10.1007/S12190-012-0589-1zbMath1293.91181OpenAlexW2048267982MaRDI QIDQ2511144

A. Schröter, Pascal Heider

Publication date: 5 August 2014

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-012-0589-1

zbMATH Keywords

copula modelsprinciple of inclusion and exclusion\(m\)-th to default swapscredit derivatives sensitivesEuropean max/min options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models

Uses Software

• quadgk
• quadva

Cites Work

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• The Pricing of Options and Corporate Liabilities
• An introduction to copulas.
• MATLAB program for quadrature in 2D
• Computation of multivariate normal and \(t\) probabilities
• Sampling Archimedean copulas
• Numerical methods to quantify the model risk of basket default swaps
• Vectorized adaptive quadrature in MATLAB
• Fast Pricing of Basket Default Swaps
• Families of Multivariate Distributions
• On the Method of Inclusion and Exclusion
• Tools for computational finance

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