Narrow search
Showing 1 - 8 of 8
Cover Image
CDS index options in Markov chain models
Herbertsson, Alexander - 2019
Persistent link: https://www.econbiz.de/10011965838
Cover Image
Saddlepoint approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander - 2022
Persistent link: https://www.econbiz.de/10013369349
Cover Image
Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014518798
Cover Image
Pricing basket default swaps in a tractable shot-noise model
Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten - 2009
Persistent link: https://www.econbiz.de/10003828944
Cover Image
Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach
Herbertsson, Alexander (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003571927
Cover Image
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
Cover Image
Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571939
Cover Image
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