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Journal Articles Quantitative Finance Year : 2011

Hedging default risks of CDOs in Markovian contagion models

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Quantitative Finance [q-fin] Computational Finance [q-fin.CP] Quantitative Finance [q-fin] Risk Management [q-fin.RM]

Jean-Paul LAURENT  : Connect in order to contact the contributor

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Submitted on : Monday, May 23, 2022-4:35:09 PM

Last modification on : Tuesday, May 24, 2022-3:03:27 AM

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hal-03676198 , version 1 (23-05-2022)

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Jean-Paul Laurent, Areski Cousin, Jean-David Fermanian. Hedging default risks of CDOs in Markovian contagion models. Quantitative Finance, 2011, 11 (12), pp.1773-1791. ⟨10.1080/14697680903390126⟩. ⟨hal-03676198⟩

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