Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives
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- Tsui, L. K., 2010. "Multi-Factor Bottom-Up Model for Pricing Credit Derivatives," MPRA Paper 23090, University Library of Munich, Germany.
- Kay Giesecke & Baeho Kim & Shilin Zhu, 2011. "Monte Carlo Algorithms for Default Timing Problems," Management Science, INFORMS, vol. 57(12), pages 2115-2129, December.
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KeywordsPricing multi-name credit derivatives; pertubation approximation; multiple time scales; time-changed birth processes; index/tranche swap; calibration;
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