On pricing basket credit default swaps

被引：11

作者：

Gu, Jia-Wen ^{[1
]}

Ching, Wai-Ki ^{[1
]}

Siu, Tak-Kuen ^{[2
,3
]}

Zheng, Harry ^{[4
]}

机构：

[1] Univ Hong Kong, Dept Math, Adv Modeling & Appl Comp Lab, Hong Kong, Hong Kong, Peoples R China

[2] City Univ London, Cass Business Sch, London ECY1 8TZ, England

[3] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW 2109, Australia

[4] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2AZ, England

来源：

QUANTITATIVE FINANCE | 2013年 / 13卷 / 12期

关键词：

DEBT; RISK;

D O I：

10.1080/14697688.2013.783713

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

页码：1845 / 1854

页数：10

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