PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
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Publication:5169987
DOI10.1142/S0219024907004408zbMath1291.91223WikidataQ126235656 ScholiaQ126235656MaRDI QIDQ5169987
Publication date: 17 July 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
marked point process; dynamic hedging; common Poisson shocks; top-down approach; Marshall-Olkin model; dynamic copula; asymptotic series expansion; market incompleteness; quadratic risk minimization; Föllmer-Sondermann approach; forward skew
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
91G40: Credit risk
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