Credit migration and basket derivatives pricing with copulas

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

Professional article

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 entities

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

Journal ISSN1460-1559

734views

342downloads

Creation20/01/2015 17:59:00

First validation20/01/2015 17:59:00

Update time14/03/2023 22:44:02

Status update14/03/2023 22:44:02

Last indexation30/10/2024 22:25:24

Archive ouverte UNIGE

Credit migration and basket derivatives pricing with copulas

Technical informations