INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
type: Item
instance of: scholarly article
title: INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
zbMATH Open document ID: 1266.91119
DOI: 10.1142/S0219024913500088
author: Stéphane Crépey
author: Dongli Wu
author: Monique Jeanblanc
published in: International Journal of Theoretical and Applied Finance
publication date: 2013-06-24T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6180166
zbMATH Keywords: Gaussian copula
zbMATH Keywords: dynamic copula
zbMATH Keywords: credit derivatives
zbMATH Keywords: counterparty risk
zbMATH Keywords: CVA
zbMATH Keywords: hedging
MaRDI profile type: Publication
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cites work: Counterparty Credit Risk, Collateral and Funding
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cites work: Progressive enlargement of filtrations with initial times
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description: scientific article; zbMATH DE number 6180166