PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL (Q5169987): Difference between revisions
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Revision as of 19:06, 5 March 2024
scientific article; zbMATH DE number 6317935
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL |
scientific article; zbMATH DE number 6317935 |
Statements
PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL (English)
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17 July 2014
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Marshall-Olkin model
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common Poisson shocks
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dynamic copula
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asymptotic series expansion
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top-down approach
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forward skew
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marked point process
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market incompleteness
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dynamic hedging
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quadratic risk minimization
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Föllmer-Sondermann approach
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