Dynamic hedging of synthetic CDO tranches with spread risk and default contagion

DOI10.1016/j.jedc.2009.10.013zbMath1202.91337OpenAlexW2096306954MaRDI QIDQ964581

Jochen Backhaus, Rüdiger Frey

Publication date: 22 April 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.10.013

zbMATH Keywords

incomplete marketscredit derivativesdynamic hedgingportfolio credit riskdefault contagion

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) Credit risk (91G40)

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