Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas (Q2276220)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas |
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Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas (English)
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1 August 2011
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credit risk
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Archimedean copula
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nested Archimedean copula
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basket default swap
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importance sampling
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