VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL

✍ Scribed by BIELECKI, T. R.; CRÉPEY, S.; JEANBLANC, M.; ZARGARI, B.

• Book ID: 120259038
• Publisher: World Scientific Publishing Company
• Year: 2012
• Tongue: English
• Weight: 756 KB
• Volume: 15
• Category: Article
• ISSN: 0219-0249
• DOI: 10.1142/S0219024911006498