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"Exact and Efficient Simulation of Correlated Defaults."

Kay Giesecke et al. (2010)

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DOI: 10.1137/090778055

access: closed

type: Journal Article

metadata version: 2022-01-07

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Kay Giesecke, Hossein Kakavand, Mohammad Mousavi, Hideyuki Takada:
Exact and Efficient Simulation of Correlated Defaults. SIAM J. Financial Math. 1(1): 868-896 (2010)

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