Pages that link to "Item:Q553040"
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The following pages link to Pricing basket default swaps in a tractable shot noise model (Q553040):
Displaying 9 items.
- Joint survival probability via truncated invariant copula (Q509311) (← links)
- Shot-noise driven multivariate default models (Q1936462) (← links)
- Basket credit derivative pricing in a Markov chain model with interacting intensities (Q2209220) (← links)
- Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas (Q2276220) (← links)
- A Copula Approach to Default Correlation and the Pricing of Basket Default Swap (Q3104332) (← links)
- Shot-Noise Processes in Finance (Q4609026) (← links)
- Basket CDS pricing with default intensities using a regime-switching shot-noise model (Q5154090) (← links)
- Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk (Q5233178) (← links)
- Affine models with path-dependence under parameter uncertainty and their application in finance (Q6633872) (← links)