Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
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Publication:964581
DOI10.1016/j.jedc.2009.10.013zbMath1202.91337MaRDI QIDQ964581
Publication date: 22 April 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2009.10.013
60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
91G40: Credit risk
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The law of large numbers for self-exciting correlated defaults, Pricing credit derivatives under incomplete information: a nonlinear-filtering approach, Large portfolio losses: A dynamic contagion model, Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering, The static hedging of CDO tranche correlation risk
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