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Pricing of multi-name credit derivatives using copulas

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 ).

Identiferoai:union.ndltd.org:OCLC/oai:xtcat.oclc.org:OCLCNo/228295709
Date January 2008
CreatorsLiu, Xinjia.
PublisherWorcester, Mass. : Worcester Polytechnic Institute,
Source SetsOCLC
LanguageEnglish
Detected LanguageEnglish
SourceLink to electronic thesis

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