Some short elements on hedging credit derivatives

DOI10.1051/ps:2007003zbMath1182.91210OpenAlexW2112160097MaRDI QIDQ5429588

Jean-Frédéric Jouanin, Ph. Durand

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__23_0

zbMATH Keywords

robustnesshedgingcredit derivatives

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Copula sensitivity analysis for portfolio credit derivatives

Cites Work

• On Cox processes and credit risky securities
• Robustness of the Black and Scholes Formula
• Unnamed Item

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