Fast valuation of forward-starting basket default swaps

DOI10.1142/S0219024910005735zbMATH Open1203.91292OpenAlexW2145444519MaRDI QIDQ3564988FDOQ3564988

Authors: Ken Jackson, Alex Kreinin, Wanhe Zhang 

Publication date: 27 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005735

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zbMATH Keywords

conditional independencehybrid methodscredit derivativesforward-starting basket default swaps

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Cites Work

• Credit Risk Modeling
• Information, endogenous uncertainty and risk aversion
• Valuation of forward-starting CDOs
• On the supports of measure-valued critical branching Brownian motion

Cited In (2)

• Fast Pricing of Basket Default Swaps
• Valuation of forward-starting CDOs

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