Dear Josh,
David X. Li has written "The valuation of Basket Credit Derivatives" in
the
April 99 issue of CreditMetrics Monitor, p. 34-50
(available on-line, can't remember the url though, you should find it
easily).
Best regards,
Eric Dubreil
--
_____________________________________________________
Dr. Giulia Iori
(Lecturer in Mathematical Finance)
Department of Mathematics
King's College, London
Strand, London WC2R 2LS
Telephone: (44) 020 7848-
Fax: (44) 020 7848-2017
Email: [log in to unmask]
URL: //pc173.mth.kcl.ac.uk/~giulia
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