Pricing and hedging in a dynamic credit model
DOI10.1142/S0219024907004408zbMATH Open1291.91223WikidataQ126235656 ScholiaQ126235656MaRDI QIDQ5169987FDOQ5169987
Authors: Youssef Elouerkhaoui 
Publication date: 17 July 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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marked point processdynamic hedgingcommon Poisson shocksMarshall-Olkin modeltop-down approachdynamic copulaasymptotic series expansionmarket incompletenessquadratic risk minimizationFöllmer-Sondermann approachforward skew
Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
Cited In (22)
- Dynamic hedging of portfolio credit risk in a Markov copula model
- Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
- State dependent correlations in the Vasicek default model
- Dynamic hedging of portfolio credit derivatives
- SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
- Exogenous shock models: analytical characterization and probabilistic construction
- Stochastic approximation schemes for economic capital and risk margin computations
- A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
- Hedging portfolio loss derivatives with CDS's
- Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
- A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
- BIVARIATE MARSHALL–OLKIN EXPONENTIAL SHOCK MODEL
- Up and down credit risk
- XVA analysis from the balance sheet
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- Title not available (Why is that?)
- Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
- Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
- Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities
- A Marshall-Olkin type multivariate model with underlying dependent shocks
- XVA principles, nested Monte Carlo strategies, and GPU optimizations
- XVA metrics for CCP optimization
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