This work was supported by the National Natural Science Foundation of China (No. 71271015, 70971006, 70831001), and was done while Ping Li was visiting Columbia University and the University of South Carolina. We acknowledge Steven Kou and Zhiliang Ying of Columbia University and Hong Yan of the University of South Carolina for their helpful discussions. We are also very grateful to the anonymous referee, the EFM journal editor John Doukas and the English editor Joelma Nascimento for their great work on improving the quality of the paper.
Change Analysis for the Dependence Structure and Dynamic Pricing of Basket Default Swaps
Article first published online: 1 DEC 2013
© 2013 John Wiley & Sons Ltd
European Financial Management
Volume 21, Issue 4, pages 646–671, September 2015
How to Cite
Li, P. and Li, Z.-Z. (2015), Change Analysis for the Dependence Structure and Dynamic Pricing of Basket Default Swaps. European Financial Management, 21: 646–671. doi: 10.1111/eufm.12036
- Issue published online: 21 SEP 2015
- Article first published online: 1 DEC 2013
- National Natural Science Foundation of China. Grant Numbers: 71271015, 70971006, 70831001
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