scientific article; zbMATH DE number 2151388

MaRDI QIDQ4660875zbMATH OpenFDO

Authors Martin Hellmich, Oliver Steinkamp

Publication date 4 April 2005

zbMATH Keywords

basket credit default swapsHoly Grailmoment-generating functions

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(4)

• Valuation of collateralized funds of hedge fund obligations: a basket option pricing approach
• On break-even correlation: the way to price structured credit derivatives by replication
• PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE
• Credit Derivatives Pricing Based on Lévy Field Driven Term Structure

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