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

Quantitative Finance

Volumn 4, Issue 3, 2004, Pages 266-275

  Joshi, Mark S ^a   Kainth, Dherminder ^a  

^a Roy Bank Scotland Grp Risk Mgmt   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3142615400     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1088/1469-7688/4/3/003     Document Type: Article

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