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Pricing and Hedging Credit Derivatives with Copulas

✍ Scribed by Umberto Cherubini; Elisa Luciano

Book ID: 108557622
Publisher: John Wiley and Sons
Year: 2003
Tongue: English
Weight: 428 KB
Volume: 32
Category: Article
ISSN: 0391-5026
DOI: 10.1111/1468-0300.00112

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## Abstract Both institutional and private investors often have only limited flexibility in timing their investment decision. They look for investments that will ideally be independent of the timing decision. In this article, a new class of derivative products whose payoff is linked to the trend of