Fast valuation of forward-starting basket default swaps

DOI10.1142/S0219024910005735MaRDI QIDQ3564988zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Fast Pricing of Basket Default Swaps
• Valuation of basket credit default swaps by the partial differential equation method
• Valuation of forward-starting CDOs
• Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
• Valuation of a credit swap of the basket type

Cites work

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

Cited in

(2)

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

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