HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
DOI10.1142/S0219024918500577zbMATH Open1411.91574OpenAlexW2898118732WikidataQ129032378 ScholiaQ129032378MaRDI QIDQ4631691FDOQ4631691
Authors: Wenqiong Liu, Wenli Huang 
Publication date: 18 April 2019
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500577
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Derivative securities (option pricing, hedging, etc.) (91G20) Theory of fuzzy sets, etc. (03E72) Credit risk (91G40)
Cites Work
- Soft set theory
- Soft set theory -- first results
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- A combined forecasting approach based on fuzzy soft sets
- An application of soft sets in a decision making problem.
- A fuzzy soft set theoretic approach to decision making problems
- Pricing and hedging of portfolio credit derivatives with interacting default intensities
- Dynamic hedging of portfolio credit derivatives
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Hedging default risks of CDOs in Markovian contagion models
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
Cited In (5)
- Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models
- Some short elements on hedging credit derivatives
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
- Pricing and hedging of CDOs: a top down approach
- The static hedging of CDO tranche correlation risk
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