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FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS - MaRDI portal

FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS (Q3564988)

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English
FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS
scientific article

    Statements

    title
    FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS (English)
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    author
    Ken Jackson
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    Alex Kreinin
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    Wanhe Zhang
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    publication date
    27 May 2010
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    zbMATH Keywords
    credit derivatives
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    forward-starting basket default swaps
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    conditional independence
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    hybrid methods
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G40
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    65C05
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    62H05
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    91G60
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    zbMATH DE Number
    5712990
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    OpenAlex ID
    W2145444519
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