Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
| Year of publication: |
2009
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|---|---|
| Authors: | Wang, Dezhong ; Rachev, Svetlozar T. ; Fabozzi, Frank J. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 11582637. - Vol. 16.2009, 2, p. 201-215
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