Basket CDS pricing with interacting intensities
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Volume (Year): 13 (2009)
Issue (Month): 3 (September)
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References listed on IDEAS
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- M. Davis & V. Lo, 2001. "Infectious defaults," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 382-387.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 1999.
"Transform Analysis and Asset Pricing for Affine Jump-Diffusions,"
NBER Working Papers
7105, National Bureau of Economic Research, Inc.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
- Shaked, Moshe & George Shanthikumar, J., 1987. "The multivariate hazard construction," Stochastic Processes and their Applications, Elsevier, vol. 24(2), pages 241-258, May.
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