Correlated Default Modeling with a Forest of Binomial Trees
Santhosh Bandreddi, Sanjiv Ranjan Das and Rong Fan
The Journal of Fixed Income Winter 2007, 17 (3) 38-56; DOI: https://doi.org/10.3905/jfi.2007.700212
Santhosh Bandreddi
A credit derivatives strategist at Merrill Lynch in New York, NY.
Sanjiv Ranjan Das
A professor of finance at Santa Clara University in Santa Clara, CA.
Rong Fan
The director of research at Gifford Fong Associates in Lafayette, CA.
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Correlated Default Modeling with a Forest of Binomial Trees
Santhosh Bandreddi, Sanjiv Ranjan Das, Rong Fan
The Journal of Fixed Income Dec 2007, 17 (3) 38-56; DOI: 10.3905/jfi.2007.700212