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Fast Pricing of Basket Default Swaps

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References

2003Monte Carlo Methods in Financial Engineering3,818 cited
2000On Default Correlation1,257 cited
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2004Rapid and accurate development of prices and Greeks for n th to default credit swaps in the Li model56 cited

Cited by

2015Simulating Risk Contributions of Credit Portfolios27 cited
2010Exact and Efficient Simulation of Correlated Defaults24 cited
2008Sensitivity estimates for portfolio credit derivatives using Monte Carlo20 cited

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