Homogeneous groups and multiscale intensity models for multiname credit derivatives
Evan Papageorgiou, Ronnie Sircar · PAMM · 2007
Abstract We discuss a computationally tractable approach to the valuation of multiname credit derivatives employing name grouping for dimension reduction, and singular perturbation approximations for model robustness. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)