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Pricing basket default swaps using quasi-analytic techniques |
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| Authors: | Umeorah Nneka Mashele Phillip Ehrhardt Matthias |
| Affiliation: | 1.Center for Business Mathematics and Informatics, North-West University, Potchefstroom, South Africa ;2.Applied Mathematics, Fakult?t für Mathematik und Naturwissenschaften, Bergische Universit?t Wuppertal, Wuppertal, Germany ; |
| Abstract: | Decisions in Economics and Finance - This research work is based on the concept of the one-factor copula model together with the discrete Fourier transform, which is applied to reduce the... |
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