Pricing and hedging of rating-sensitive claims modeled by \(\mathbb{F}\)-doubly stochastic Markov chains (Q5198569)
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scientific article; zbMATH DE number 5936957
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| English | Pricing and hedging of rating-sensitive claims modeled by \(\mathbb{F}\)-doubly stochastic Markov chains |
scientific article; zbMATH DE number 5936957 |
Statements
Pricing and Hedging of Rating-Sensitive Claims Modeled by $\mathbb{F}$-doubly Stochastic Markov Chains (English)
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8 August 2011
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credit derivatives
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ex-dividend price
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cumulative price
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cash flow
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rating migration
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hedging
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\(\mathbb F\)-doubly stochastic Markov chain
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0.8104603886604309
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0.7630336284637451
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0.7620000839233398
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0.757456362247467
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0.7571238279342651
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