Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
| Year of publication: |
2010
|
|---|---|
| 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
|