Dynamic Hedging of Counterparty Exposure

Author:

Bielecki Tomasz R.,Crépey Stéphane

Publisher

Springer International Publishing

Reference16 articles.

1. Assefa, S., Bielecki, T.R., Crepey, S., Jeanblanc, M.: CVA computation for counterparty risk assessment in credit portfolios. In: Bielecki, T.R., Brigo, D., Patras, F. (eds.) Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity. Wiley, New York (2011)

2. Bielecki, T.R., Cousin, A., Crépey, S., Herbertsson, A.: Dynamic hedging of portfolio credit risk in a Markov copula model. JOTA 157(3) (2013)

3. Bielecki, T.R., Crépey, S., Jeanblanc, M., Rutkowski, M.: Convertible bonds in a defaultable diffusion model. In: Kohatsu-Higa, A., Privault, N., Sheu, S.J. (eds.) Stochastic Analysis with Financial Applications. Birkhäuser, Basel (2010)

4. Bielecki, T., Crépey, S., Jeanblanc, M., Zargari, B.: Valuation and hedging of CDS counterparty exposure in a Markov copula model. IJTAF 15(1) (2012)

5. Bielecki, T.R., Vidozzi, A., Vidozzi, L.: A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds. J. Credit Risk 4, 1 (2008)

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