Pages that link to "Item:Q964581"

The following pages link to Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (Q964581):

Displaying 13 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)
• Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models (Q1733754) (← links)
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering (Q1761434) (← links)
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives (Q2198168) (← links)
• The static hedging of CDO tranche correlation risk (Q3636731) (← links)
• From insurance risk to credit portfolio management: a new approach to pricing CDOs (Q4554223) (← links)
• A Multivariate Default Model with Spread and Event Risk (Q4585901) (← links)
• HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH (Q4631691) (← links)
• On break-even correlation: the way to price structured credit derivatives by replication (Q4683100) (← links)
• A set-valued Markov chain approach to credit default (Q4991050) (← links)
• An extension of Davis and Lo's contagion model (Q5746773) (← links)