Pricing basket default swaps using quasi-analytic techniques

DOI10.1007/S10203-020-00310-XzbMath1470.91289OpenAlexW3120254667MaRDI QIDQ2044822

Yanyan Li

Publication date: 10 August 2021

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-020-00310-x

zbMATH Keywords

convolutioncopulasfast Fourier transformdiscrete Fourier transformprobability distributionsbasket default swapscharacteristics function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Cites Work

• Dependent defaults and losses with factor copula models
• A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• The t Copula and Related Copulas
• Efficient hybrid methods for portfolio credit derivatives
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