Pricing and hedging of portfolio credit derivatives with interacting default intensities

International Journal of Theoretical and Applied Finance

Volumn 11, Issue 6, 2008, Pages 611-634

  Frey, Rüdiger ^a   Backhaus, Jochen ^a  

^a UNIVERSITY OF LEIPZIG   (Germany)

Author keywords

CDOs; Credit derivatives; Hedging; Markov chains

Indexed keywords

EID: 52949083996     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024908004956     Document Type: Article

References (27)

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