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Alexander Kreinin
affiliation not provided to SSRN
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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Fast Valuation of Forward-Starting Basket Default Swaps
International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 15 Jun 2010
Last Revised: 21 Jun 2010
Kenneth R. Jackson
, Alexander Kreinin and
Wanhe Zhang
University of Toronto - Department of Computer Science,
affiliation not provided to SSRN
and Department of Computer Science, University of Toronto
Abstract:
Credit derivatives, forward-starting basket default swaps, conditional independence, hybrid methods
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