Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
Year of publication: |
2011
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Authors: | Choe, Geon Ho ; Jang, Hyun Jin |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 48.2011, 2, p. 205-213
|
Subject: | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Kreditderivat | Credit derivative | Swap | Multivariate Analyse | Multivariate analysis |
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