Hedging CDO Tranches in a Markovian Environment

DOI10.1007/978-3-642-14660-2_1zbMath1214.91124OpenAlexW982562205MaRDI QIDQ3061145

Jean-Paul Laurent, Areski Cousin, Monique Jeanblanc-Picqué

Publication date: 14 December 2010

Published in: Paris-Princeton Lectures on Mathematical Finance 2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-14660-2_1

zbMATH Keywords

CDOCDSrisk-neutral pricinghedging CDO tranchehomogeneous Markovian contagion modelrecombining binary tree

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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