RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES-Reference-Cited by-同舟云学术

RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES

Published:2011-06-22 Issue:1 Volume:23 Page:94-121
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Cont Rama,Minca Andreea

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2011.00491.x/fullpdf

Reference40 articles.

1. BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives;Arnsdorff;J. Comput. Finance,2008

2. Calibrating the Volatility Surfaces Via Relative Entropy Minimization;Avellaneda;Appl. Math. Finance,1997

3. Avellaneda , M. 1998 The Minimum-Entropy Algorithm and Related Methods for Calibrating Asset-Pricing Models Proceedings of the International Congress of Mathematicians , (Berlin, 1998) Vol. III 545 563

4. Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models;Avellaneda;Int. J. Theor. Appl. Finance,2001

5. Bentata , A. R. Cont 2009 Mimicking the marginal distributions of a semimartingale

Cited by 32 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal Impact Portfolios with General Dependence and Marginals;Operations Research;2024-03-20

2. Reduced-form framework for multiple ordered default times under model uncertainty;Stochastic Processes and their Applications;2023-02

3. Measuring the systemic risk in indirect financial networks;The European Journal of Finance;2021-07-30

4. A set-valued Markov chain approach to credit default;Quantitative Finance;2020-01-29

5. Modeling Credit Risk with Hidden Markov Default Intensity;Computational Economics;2018-11-20