Pricing and Risk Management of Credit Default Swaps | OpenGamma

A 'clean room' rebuild of the pricing for a CDS, which uncovers errors in reference code. If you're into maths, this is the paper for you. For the full story
October 7, 2013 - Editor
Category: Article

A 'clean room' rebuild of the pricing for a CDS, which uncovers errors in reference code. If you're into maths, this is the paper for you. For the full story with detailed PDF click over to:  Pricing and Risk Management of Credit Default Swaps – OpenGamma. 

 

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