Dynamic hedging of portfolio credit derivatives
Year of publication: |
2011-02-01
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Authors: | Cont, Rama ; Kan, Yu Hang |
Institutions: | HAL |
Subject: | hedging | credit default swaps | portfolio credit derivatives | index default swaps | collateralized debt obligations | portfolio credit risk models | default contagion | spread risk | sensitivity-based hedging | variance minimization |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00578008/en/ Published, SIAM Journal on Financial Mathematics, 2011, 2, 1, 112-140 |
Source: |
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