Media type: E-Book; Thesis Title: A Fast Quadrature Method for Pricing Basket Default Swaps by Means of Copulae Contributor: Schröter, Alexander [Verfasser]; Heider, Pascal [Akademischer Betreuer]; Seydel, Rüdiger [Akademischer Betreuer] imprint: Köln: Universitäts- und Stadtbibliothek Köln, 2012 Extent: Online-Ressource Language: English Identifier: Keywords: Basket Default Swaps; Copula Models; Quadrature methods; Monte-Carlo methods; dimension reduction; Option pricing; high-dimensional quadrature; Factor models; Recursion schemes ; Hochschulschrift Origination: University thesis: Köln, Universität zu Köln, Diss., 2012 Footnote: Access State: Open Access