A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
Tomasz R. Bielecki; Andrea Vidozzi; Luca Vidozzi
| Year of publication: |
2008
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|---|---|
| Authors: | Bielecki, Tomasz R. ; Vidozzi, Andrea ; Vidozzi, Luca |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 4.2008/09, 1, p. 47-76
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| Subject: | Derivat | Derivative | Kreditrisiko | Credit risk | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003745400