Pricing basket default swaps using quasi-analytic techniques
Nneka Umeorah, Phillip Mashele, Matthias Ehrhardt
| Year of publication: |
2021
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|---|---|
| Authors: | Umeorah, Nneka ; Mashele, Phillip ; Ehrhardt, Matthias |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 1, p. 241-267
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| Subject: | Discrete Fourier transform | Fast Fourier transform | Copulas | Convolution | Basket default swaps | Characteristics function | Probability distributions | Optionspreistheorie | Option pricing theory | Swap | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-020-00310-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012587841