Pricing k-th to default swaps under default contagion: The matrix analytic approach
Journal article, 2008

Author

Alexander Herbertsson

University of Gothenburg

Holger Rootzen

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematical Statistics

Journal of Computational Finance

Vol. 12 1 49-78

Subject Categories

Economics

More information

Created

10/7/2017