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Pricing of Multi-Name Credit Derivatives Using Copulas

Mot-clé:

first-to-default baskets, multi-name credit derivatives, and copula functions

Créateur:

Liu, Xinjia

Advisor:

Vermes, Domokos

Éditeur:

Worcester Polytechnic Institute

date créée:

2008-01-08

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences