The Asymptotic Homogeneous Expansion

Part of the Applied Quantitative Finance book series (AQF)


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.


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© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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