Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives (Q2198168)
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scientific article; zbMATH DE number 7245587
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| English | Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives |
scientific article; zbMATH DE number 7245587 |
Statements
Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives (English)
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9 September 2020
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local risk-minimization
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counterparty risk
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recursive system of Cauchy problems
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0.8100308775901794
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0.794223964214325
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0.7906654477119446
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0.7831918001174927
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0.7744697332382202
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