Rapid and accurate development of prices and Greeks for nth to default credit swaps in the Li model

By Mark S. Joshi, D. Kainth. 2004

63 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a6065c0f526c2d1741f49761202bbfe35c8989c4