Hedging CDO Tranches in a Markovian Environment
type: Item
instance of: scholarly article
title: Hedging CDO Tranches in a Markovian Environment
zbMATH Open document ID: 1214.91124
DOI: 10.1007/978-3-642-14660-2_1
author: Areski Cousin
author: Jean-Paul Laurent
author: Monique Jeanblanc
published in: Paris-Princeton Lectures on Mathematical Finance 2010
publication date: 2010-12-14T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5826219
zbMATH Keywords: CDS
zbMATH Keywords: CDO
zbMATH Keywords: hedging CDO tranche
zbMATH Keywords: risk-neutral pricing
zbMATH Keywords: homogeneous Markovian contagion model
zbMATH Keywords: recombining binary tree
MaRDI profile type: Publication
full work available at URL: 978-3-642-14660-2 1
OpenAlex ID: W982562205
description: scientific article