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Wanhe Zhang

Department of Computer Science, University of Toronto

Sandford Fleming Building

10 King's College Road, Room 3302

Toronto, Ontario M5S 3G4

Canada

  • Department of Computer Science, University of Toronto

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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:

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Credit derivatives, forward-starting basket default swaps, conditional independence, hybrid methods