Multi-scale time-changed birth processes for pricing multi-name credit derivatives

Applied Mathematical Finance

Volumn 16, Issue 5, 2009, Pages 429-449

  Bayraktar, Erhan ^a   Yang, Bo ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b MORGAN STANLEY   (United States)

Author keywords

Calibration; Index tranche swap; Multiple time scales; Pertubation approximation; Pricing multi name credit derivatives; Time changed birth processes

Indexed keywords

EID: 70449570778     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860903073774     Document Type: Article

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