Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk (Q2953949)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk |
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Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk (English)
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11 January 2017
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path-dependent stochastic differential equations
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weak convergence
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correlated first-passage times
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basket credit default swap pricing
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contagion risk
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counterparty risk
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