FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS
Year of publication: |
2010
|
---|---|
Authors: | JACKSON, KEN ; KREININ, ALEX ; ZHANG, WANHE |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 02, p. 195-209
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit derivatives | forward-starting basket default swaps | conditional independence | hybrid methods |
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