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Working papers in economics
Journal of banking & finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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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
Saved in:
3
Dynmaic modelling of portfolio credit risk with common shocks
Bielecki, Tomasz R.
(
contributor
)
-
2011
Persistent link: https://www.econbiz.de/10009012001
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4
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:
5
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:
6
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:
7
Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003571939
Saved in:
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