Pages that link to "Item:Q964581"
From MaRDI portal
The following pages link to Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (Q964581):
Displayed 6 items.
- The law of large numbers for self-exciting correlated defaults (Q436290) (← links)
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766) (← links)
- Large portfolio losses: A dynamic contagion model (Q1009490) (← links)
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering (Q1761434) (← links)
- The static hedging of CDO tranche correlation risk (Q3636731) (← links)
- An extension of Davis and Lo's contagion model (Q5746773) (← links)