JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS

DOI10.1142/S0219024907004354zbMath1291.91224OpenAlexW2081603014MaRDI QIDQ5169989

Friedel Epple, Sam Morgan, Lutz Schlögl

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004354

zbMATH Keywords

CDOscorrelation modellingpath-dependent portfolio derivatives

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (3)

An extension of Davis and Lo's contagion model ⋮ SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL ⋮ Hedging default risks of CDOs in Markovian contagion models

Uses Software

• MATLAB expm

Cites Work

• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• The Scaling and Squaring Method for the Matrix Exponential Revisited

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