Hedging CDO Tranches in a Markovian Environment (Q3061145)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging CDO Tranches in a Markovian Environment |
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Hedging CDO Tranches in a Markovian Environment (English)
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14 December 2010
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CDS
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CDO
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hedging CDO tranche
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risk-neutral pricing
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homogeneous Markovian contagion model
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recombining binary tree
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