INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (Q5299994): Difference between revisions

@@ Property / author @@
-Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
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@@ Property / author @@
+Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
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@@ Property / cites work @@
+VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
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@@ Property / cites work @@
+Counterparty Credit Risk, Collateral and Funding
@@ Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging CDO Tranches in a Markovian Environment
@@ Property / cites work: Hedging CDO Tranches in a Markovian Environment / rank @@
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@@ Property / cites work @@
+Financial modeling. A backward stochastic differential equations perspective
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@@ Property / cites work @@
+About the Pricing Equations in Finance
@@ Property / cites work: About the Pricing Equations in Finance / rank @@
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@@ Property / cites work @@
+What happens after a default: the conditional density approach
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@@ Property / cites work @@
+Progressive enlargement of filtrations with initial times
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