Abstract
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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Elouerkhaoui, Y. (2017). Numerical Tools: Basket Expansions. In: Credit Correlation. Applied Quantitative Finance. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-60973-7_8
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DOI: https://doi.org/10.1007/978-3-319-60973-7_8
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Publisher Name: Palgrave Macmillan, Cham
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