"Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model."

Tomasz R. Bielecki et al. (2014)

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DOI: 10.1007/S10957-013-0318-4

access: closed

type: Journal Article

metadata version: 2020-04-07

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Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson:
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. J. Optim. Theory Appl. 161(1): 90-102 (2014)

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