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The Asymptotic Homogeneous Expansion

Chapter
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Part of the Applied Quantitative Finance book series (AQF)

Abstract

The transformation, described in the previous chapter, produces a homogeneous portfolio, which mimics some properties of the aggregate default distribution, and can be used pari-pasu for the purposes of basket default swap valuation. By using this homogeneous portfolio, the numerical burden that comes with the pricing of large baskets is eased, and the valuation algorithm is significantly speeded up.

References

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  4. W.H. Press, S.A. Teukolsky, W.T. Vetterling, B.P. Flannery, Numerical Recipes in C (Cambridge University Press, Cambridge, 1992)Google Scholar

Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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