{"id":"W2145444519","doi":"10.1142/s0219024910005735","title":"FAST VALUATION OF FORWARD-STARTING BASKET DEFAULT SWAPS","year":2010,"lang":"en","type":"article","venue":"International Journal of Theoretical and Applied Finance","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":2,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"Foreign, Commonwealth and Development Office","keywords":"Computer science; Credit default swap; Monte Carlo method; Valuation (finance); Valuation of options; Derivative (finance); Mathematical optimization; Monte Carlo methods for option pricing; Swap (finance); Econometrics; Credit risk; Actuarial science; Mathematics; Economics; Financial economics; Accounting; Finance; Statistics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002674298,0.0004885487,0.001027102,0.0008133774,0.0004188486,0.001532873,0.0009006097,0.0008254388,0.002426937],"category_scores_gemma":[0.008790328,0.0005264329,0.0005941981,0.0007062511,0.0007514714,0.002192822,0.001062361,0.001777996,0.0002909453],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008573805,"about_ca_system_score_gemma":0.0008333573,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002567972,"about_ca_topic_score_gemma":0.001619436,"domain_scores_codex":[0.9993236,0.0003033369,0.00002191348,0.00005623301,0.0002432975,0.00005167308],"domain_scores_gemma":[0.9969448,0.00205619,0.0002178057,0.0002265099,0.0003978688,0.0001567502],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001692153,0.00004423388,0.002047476,0.00004696913,0.0000263874,0.0002200822,0.00008668275,0.819243,0.003067766,0.1395134,0.001024416,0.03451039],"study_design_scores_gemma":[0.000005814914,0.000007014814,0.0001151809,0.000002173208,0.000001640202,0.00002167416,0.000003567032,0.9907361,0.0002022576,0.008745991,0.0001552157,0.000003436504],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"methods","genre_scores_codex":[0.05017751,0.0001904527,0.9468089,0.000119458,0.00003009628,0.00003984475,0.00005340422,0.000190167,0.002390053],"genre_scores_gemma":[0.8451892,0.0003032812,0.1518666,0.00003345541,0.00004631757,0.00006280869,0.0001513443,0.00006617296,0.002280764],"genre_candidate":"methods","genre_consensus":"methods","teacher_disagreement_score":0.002674298,"threshold_uncertainty_score":0.01414323,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01193181327490159,"score_gpt":0.2330961313911093,"score_spread":0.2211643181162077,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}