Semi-analytical valuation of basket credit derivatives in intensity-based models
Year of publication: |
2006
|
---|---|
Authors: | Mortensen, Allan |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 13.2006, 4, p. 8-26
|
Subject: | Kredit | Credit | Derivat | Derivative | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | USA | United States | 2004-2005 |
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