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Filtering by: Advisor Vermes, Domokos Creator Liu, Xinjia

Pricing of Multi-Name Credit Derivatives Using Copulas

Keyword:

first-to-default baskets, multi-name credit derivatives, and copula functions

Creator:

Liu, Xinjia

Advisor:

Vermes, Domokos

Publisher:

Worcester Polytechnic Institute

Date Created:

2008-01-08

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences