Pricing k-th-to-default swaps under default contagion: the matrix-analytic approach

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Pricing k-th-to-default swaps under default contagion : the matrix-analytic approach / by Alexander Herbertsson and Holger Rootzén

Herbertsson, Alexander, 1977- (författare)

Rootzén, Holger, 1945- (författare)

Handelshögskolan vid Göteborgs universitet Institutionen för nationalekonomi med statistik (utgivare)

Göteborg : Department of Economics, School of Business, Economics and Law, Göteborg University, 2007
Engelska 27 s.
Serie: Working papers in economics / Department of Economics, School of Business, Economics and Law, Göteborg University, 1403-2473 ; 269