Author:
Bielecki Tomasz R.,Jakubowski Jacek,Niewęgłowski Mariusz
Publisher
Springer Berlin Heidelberg
Reference33 articles.
1. Assefa, S., Bielecki, T.R., Crépey, S., Jeanblanc, M.: CVA computation for counter party risk assessment and hedging in credit portfolios. Working Paper (2009)
2. Bauerle, N., Blatter, A., Muller, A.: Dependence properties and comparison results for Lévy processes. Mathematical Methods of Operations Research 67(1), 161–186 (2008)
3. Bielecki, T.R., Jakubowski, J., Niewęgłowski, M.: Study of dependence for some stochastic processes part II: Symbolic Markov copulae. Submitted (2009)
4. Bielecki, T.R., Jakubowski, J., Vidozzi, A., Vidozzi, L.: Study of dependence for some stochastic processes. Stochastic Analysis and Applications 26, 903–924 (2008)
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. Journal of Credit Risk 4(1) (2008)
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33 articles.
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