Basket CDS pricing with interacting intensities
Year of publication: |
2009
|
---|---|
Authors: | Zheng, Harry ; Jiang, Lishang |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 13.2009, 3, p. 445-469
|
Subject: | Ausfallrisiko | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation |
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