Numerical Tools: Basket Expansions

Part of the Applied Quantitative Finance book series (AQF)


In the next few chapters, we study some efficient numerical methods for the valuation of large basket credit derivatives. While the approaches are presented in the Marshall-Olkin copula model, most of the numerical techniques are generic and could be used with other copulas as well. The methods presented span a large spectrum of applied mathematics: Fourier transforms, changes of probability measure, numerical stable schemes, high-dimensional Sobol integration, recursive convolution algorithms.


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Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.LondonUK

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