FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS

DOI10.1142/S0219024910005735zbMath1203.91292OpenAlexW2145444519MaRDI QIDQ3564988

Alex Kreinin, Ken Jackson, Wanhe Zhang

Publication date: 27 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005735

zbMATH Keywords

credit derivativeshybrid methodsconditional independenceforward-starting basket default swaps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Valuation of forward-starting CDOs

Cites Work

• Information, endogenous uncertainty and risk aversion
• Valuation of forward-starting CDOs
• Credit Risk Modeling
• On the supports of measure-valued critical branching Brownian motion

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