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Pricing kth-to-default swaps under default contagion: the matrix analytic approach
Herbertsson, Alexander
;
Rootzén, Holger
- In:
The journal of computational finance
12
(
2008
)
1
,
pp. 49-78
Persistent link: https://www.econbiz.de/10009534635
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Univariate and bivariate GPD methods for predicting extreme wind storm losses
Brodin, Erik
;
Rootzén, Holger
- In:
Insurance / Mathematics & economics
44
(
2009
)
3
,
pp. 345-356
Persistent link: https://www.econbiz.de/10009517629
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3
Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach
Herbertsson, Alexander
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003571927
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