Joint distributions of portfolio losses and exotic portfolio products

DOI10.1142/S0219024907004354zbMATH Open1291.91224OpenAlexW2081603014MaRDI QIDQ5169989FDOQ5169989

Authors: Friedel Epple, Sam Morgan, Lutz Schlögl 

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004354

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zbMATH Keywords

CDOscorrelation modellingpath-dependent portfolio derivatives

Mathematics Subject Classification ID

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) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• The Scaling and Squaring Method for the Matrix Exponential Revisited

Cited In (3)

• Hedging default risks of CDOs in Markovian contagion models
• SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL
• An extension of Davis and Lo's contagion model

Uses Software

• MATLAB expm

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