Pricing kth-to-default swaps in a Lévy-time framework
Year of publication: |
2009
|
---|---|
Authors: | Mai, Jan-Frederik ; Scherer, Matthias |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 5.2009/10, 3, p. 55-70
|
Subject: | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis | Theorie | Theory |
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