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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"credit derivatives. fonte carlo method."" "subject:"credit derivatives. fonte sarlo method.""

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Pricing of multi-name credit derivatives using copulas

Liu, Xinjia. January 2008 (has links)
Professional Master's Project in partial fulfillment of the requirements for the degree of Master of Science (M.S.)--Worcester Polytechnic Institute. / Keywords: first-to-default baskets; multi-name credit derivatives; copula functions. Includes bibliographical references (leaf 29 ).
Credit derivatives. Monte Carlo method.

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