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

Other publications Research

Journal of Computational Finance

Vol. 12 1 49-78

Subject Categories

Economics

More information

Created

10/7/2017

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