Credit migration and basket derivatives pricing with copulas

Berrada, Tony Nicolas; Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; Rémillard, Bruno

Professional article

Open access

English

Credit migration and basket derivatives pricing with copulas

ContributorsBerrada, Tony Nicolas; Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; Rémillard, Bruno

Published inJournal of computational finance, vol. 10, no. 1, p. 43-68

Publication date2006

Affiliation

Faculté d'économie et de management / Geneva Finance Research Institute

Citation (ISO format)

BERRADA, Tony Nicolas et al. Credit migration and basket derivatives pricing with copulas. In: Journal of computational finance, 2006, vol. 10, n° 1, p. 43–68.

Article (Accepted version)

Identifiers

PID : unige:45673

ISSN of the journal1460-1559

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Credit migration and basket derivatives pricing with copulas

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