Pricing and hedging in a dynamic credit model (Q5169987)
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scientific article; zbMATH DE number 6317935
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| 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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0.8379051685333252
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0.8308190107345581
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0.808729887008667
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0.8064350485801697
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