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~person:"Herbertsson, Alexander"
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Search: subject_exact:"CDS (Credit Default Swap)"
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Credit derivative
9
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Herbertsson, Alexander
Tang, Dragon Yongjun
34
Scheicher, Martin
31
Gündüz, Yalın
24
Augustin, Patrick
23
Subrahmanyam, Marti G.
23
Lee, Jongsub
22
Zhang, Gaiyan
22
Mayordomo, Sergio
21
Zhou, Hao
21
Zhong, Zhaodong
20
Zhu, Haibin
20
Calice, Giovanni
19
Fabozzi, Frank J.
19
Hammoudeh, Shawkat
19
Wang, Xinjie
18
Wang, Sarah Qian
17
Kiesel, Florian
16
Vuillemey, Guillaume
16
Aizenman, Joshua
15
Brigo, Damiano
15
Peltonen, Tuomo
15
Schiereck, Dirk
15
Urban, Jörg
15
Bolton, Patrick
14
Byström, Hans N. E.
14
Hasan, Iftekhar
14
Ongena, Steven
14
Acharya, Viral V.
13
Cathcart, Lara
13
Gex, Mathieu
13
Naranjo, Andy
13
Ters, Kristyna
13
Capponi, Agostino
12
Fender, Ingo
12
Geanakoplos, John
12
Gilchrist, Simon
12
Helwege, Jean
12
Hu, Nan
12
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Working papers in economics
6
Review of derivatives research
1
The credit derivatives handbook : global perspectives, innovations, and market drivers
1
The journal of computational finance
1
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ECONIS (ZBW)
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1
CDS index options in Markov chain models
Herbertsson, Alexander
-
2019
Persistent link: https://www.econbiz.de/10011965838
Saved in:
2
A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépy, Stéphane
; …
-
2012
Persistent link: https://www.econbiz.de/10009630172
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3
Pricing basket default swaps in a tractable shot-noise model
Herbertsson, Alexander
;
Jang, Jiwook
;
Schmidt, Thorsten
-
2009
Persistent link: https://www.econbiz.de/10003828944
Saved in:
4
Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach
Herbertsson, Alexander
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003571927
Saved in:
5
Pricing synthetic CDO tranches in a model with default contagion using the matrix-analytic approach
Herbertsson, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003571937
Saved in:
6
Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003571939
Saved in:
7
Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009272496
Saved in:
8
Pricing kth-to-default swaps under default contagion: the matrix analytic approach
Herbertsson, Alexander
;
Rootzén, Holger
- In:
The journal of computational finance
12
(
2008
)
1
,
pp. 49-78
Persistent link: https://www.econbiz.de/10009534635
Saved in:
9
Default contagion in large homogeneous portfolios
Herbertsson, Alexander
- In:
The credit derivatives handbook : global perspectives, …
,
(pp. 303-334)
.
2008
Persistent link: https://www.econbiz.de/10003748427
Saved in:
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