PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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Publication:3168859
DOI10.1142/S0219024908004956zbMath1210.91130OpenAlexW2150092104MaRDI QIDQ3168859
Publication date: 27 April 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024908004956
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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Uses Software
Cites Work
- Credit contagion and aggregate losses
- Paris-Princeton lectures on mathematical finance 2003.
- CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
- Unnamed Item
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