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Hedging CDO Tranches in a Markovian Environment

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https://hal-paris1.archives-ouvertes.fr/hal-03679488
Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Thursday, May 26, 2022 - 4:42:20 PM
Last modification on : Wednesday, September 28, 2022 - 4:19:14 PM

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Areski Cousin, Monique Jeanblanc, Jean-Paul Laurent. Hedging CDO Tranches in a Markovian Environment. Paris-Princeton Lectures on Mathematical Finance 2010, 2003, Springer Berlin Heidelberg, pp.1-61, 2011, Lecture Notes in Mathematics, ⟨10.1007/978-3-642-14660-2_1⟩. ⟨hal-03679488⟩

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