Pricing and hedging in a dynamic credit model

International Journal of Theoretical and Applied Finance

Volumn 10, Issue 4, 2007, Pages 703-731

  Elouerkhaoui, Youssef ^a  

^a CITIGROUP   (United Kingdom)

Author keywords

Asymptotic series expansion; Common poisson shocks; Dynamic copula; Dynamic hedging; F llmer Sondermann approach; Forward skew; Marked point process; Market incompleteness; Marshall Olkin model; Quadratic risk minimization; Top down approach

Indexed keywords

EID: 34547362394     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024907004408     Document Type: Article

References (20)

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