Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
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Publication:2198168
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Cites work
- \(\mathcal E\)-martingales and their applications in mathematical finance
- A guided tour through quadratic hedging approaches
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Credit portfolio selection with decaying contagion intensities
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Handbook on systemic risk
- Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
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- scientific article; zbMATH DE number 2133104 (Why is no real title available?)
- scientific article; zbMATH DE number 503132 (Why is no real title available?)
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- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Pricing and trading credit default swaps in a hazard process model
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- Unit-linked life insurance policies: optimal hedging in partially observable market models
Cited in
(8)- CVA and vulnerable options pricing by correlation expansions
- scientific article; zbMATH DE number 1861578 (Why is no real title available?)
- Hedging portfolio loss derivatives with CDS's
- Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
- A risk-sharing framework of bilateral contracts
- Pricing option based portfolio with counterparty risk impact of netting
- Binary funding impacts in derivative valuation
- Hedging of defaultable claims in a structural model using a locally risk-minimizing approach
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