Open AccessBasket CDS pricing with interacting intensities
Author(s) -
Harry Zheng,
Lishang Jiang
Publication year - 2009
Publication title -
finance and stochastics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 50
eISSN - 1432-1122
pISSN - 0949-2984
DOI - 10.1007/s00780-009-0091-2
Subject(s) - default , portfolio , counterparty , econometrics , mathematical finance , credit risk , homogeneous , hazard , economics , actuarial science , computer science , mathematics , financial economics , finance , chemistry , organic chemistry , combinatorics
Factor contagion model, Basket CDS, Analytic pricing formula, Counterparty risk, Stochastic intensity, 60J75, 65C20, 91B28, C63,
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