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Pricing basket default swaps in a tractable shot noise model

Journal article
Authors Alexander Herbertsson
Jiwook Jang
Thorsten Schmidt
Published in Statistics and Probability Letters
Volume 81
Issue 8
Pages 1196-1207
Publication year 2011
Published at Department of Economics
Pages 1196-1207
Language en
Links 10.1016/j.spl.2011.03.018
Subject categories Economics
Page Manager: Webmaster|Last update: 9/11/2012
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