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Basket default swaps 1 Characteristics function 1 Convolution 1 Copulas 1 Credit derivative 1 Credit risk 1 Discrete Fourier transform 1 Fast Fourier transform 1 Kreditderivat 1 Kreditrisiko 1 Multivariate Verteilung 1 Multivariate distribution 1 Option pricing theory 1 Optionspreistheorie 1 Probability distributions 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastischer Prozess 1 Swap 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Ehrhardt, Matthias 1 Mashele, Phillip 1 Umeorah, Nneka 1
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Decisions in economics and finance : a journal of applied mathematics 1
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ECONIS (ZBW) 1
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Pricing basket default swaps using quasi-analytic techniques
Umeorah, Nneka; Mashele, Phillip; Ehrhardt, Matthias - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 241-267
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