Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
Year of publication: |
2010
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Authors: | Mariani, Fabio ; Pérez-Barahona, Agustín ; Raffin, Natacha |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 7174093. - Vol. 34.2010, 4, p. 710-725
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