Valuation of a credit swap of the basket type
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Cited in
(17)- scientific article; zbMATH DE number 1867087 (Why is no real title available?)
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default
- Valuation of basket credit default swaps under stochastic default intensity models
- Fast valuation of forward-starting basket default swaps
- An analytic approach of valuing \(n\)th-to-default swaps
- Fast Pricing of Basket Default Swaps
- Pricing the credit default swap rate for jump diffusion default intensity processes
- On the simulation of portfolios of interest rate and credit risk sensitive securities
- Credit events and the valuation of credit derivatives of basket type
- Valuing risky debt: a new model combining structural information with the reduced-form approach
- Valuation of a loan-only credit default swap with negatively correlated default and prepayment intensities
- Valuation of cross-currency Bermudan swaptions
- Valuation of credit default swaps and swaptions
- ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
- An economic premium principle in a multiperiod economy.
- Valuation of basket credit default swaps by the partial differential equation method
- Valuation of portfolio credit derivatives with default intensities using the Vasicek model
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