Pages that link to "Item:Q3392172"
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The following pages link to Fast Pricing of Basket Default Swaps (Q3392172):
Displayed 11 items.
- Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula (Q335566) (← links)
- Sensitivity estimates for portfolio credit derivatives using Monte Carlo (Q2271719) (← links)
- Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas (Q2276220) (← links)
- Numerical methods to quantify the model risk of basket default swaps (Q2453103) (← links)
- An analytical formula for pricing \(m\)-th to default swaps (Q2511144) (← links)
- Reduced-form framework for multiple ordered default times under model uncertainty (Q2680389) (← links)
- The<i>k</i>th default time distribution and basket default swap pricing (Q2866391) (← links)
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion (Q2931944) (← links)
- Simulating Risk Contributions of Credit Portfolios (Q3195233) (← links)
- On an automatic and optimal importance sampling approach with applications in finance (Q4554214) (← links)
- Valuation of Basket Credit Default Swaps Under Stochastic Default Intensity Models (Q5156996) (← links)