Showing results 4 to 6 of 6
Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas Choe, Geon Ho; Jang, Hyun Jin, INSURANCE MATHEMATICS ECONOMICS, v.48, no.2, pp.205 - 213, 2011-03 |
Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes Choe, Geon Ho; Jang, Hyun Jin; Na, Young Hoon, STATISTICS & PROBABILITY LETTERS, v.148, pp.43 - 53, 2019-05 |
The kth default time distribution and basket default swap pricing Choe, Geon Ho; Jang, Hyun Jin, QUANTITATIVE FINANCE, v.11, pp.1793 - 1801, 2011 |
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