Fast Pricing of Basket Default Swaps
From MaRDI portal
Publication:3392172
DOI10.1287/opre.1070.0456zbMath1167.91364MaRDI QIDQ3392172
Paul Glasserman, Zhi-yong Chen
Publication date: 13 August 2009
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6e62da372c44aa91626a97bf108361825426eff4
62P05: Applications of statistics to actuarial sciences and financial mathematics
93E20: Optimal stochastic control
Related Items
On an automatic and optimal importance sampling approach with applications in finance, Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula, Sensitivity estimates for portfolio credit derivatives using Monte Carlo, Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas, Numerical methods to quantify the model risk of basket default swaps, An analytical formula for pricing \(m\)-th to default swaps, Thekth default time distribution and basket default swap pricing, Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion, Simulating Risk Contributions of Credit Portfolios