Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives (Q5851723)
From MaRDI portal
scientific article; zbMATH DE number 5662257
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives |
scientific article; zbMATH DE number 5662257 |
Statements
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives (English)
0 references
25 January 2010
0 references
pricing multi-name credit derivatives
0 references
perturbation approximation
0 references
multiple time scales
0 references
time-changed birth processes
0 references
index/tranche swap
0 references
calibration
0 references
