Pricing kth-to-default swaps under default contagion: the matrix analytic approach
Year of publication: |
2008
|
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Authors: | Herbertsson, Alexander ; Rootzén, Holger |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 12.2008, 1, p. 49-78
|
Subject: | Theorie | Theory | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Swap |
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