R. Jahanbin
Department of Industrial Engineering & Management Systems, Amirkabir University of Technology, Tehran, Iran
[ 1 ] - An Application of Genetic Network Programming Model for Pricing of Basket Default Swaps (BDS)
The credit derivatives market has experienced remarkable growth over the past decade. As such, there is a growing interest in tools for pricing of the most prominent credit derivative, the credit default swap (CDS). In this paper, we propose a heuristic algorithm for pricing of basket default swaps (BDS). For this purpose, genetic network programming (GNP), which is one of the recent evolutiona...
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