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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~person:"Brigo, Damiano"
~person:"Capponi, Agostino"
~person:"Guéant, Olivier"
~subject:"Insolvenz"
~subject:"bilateral CVA"
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Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
1
Journal of banking & finance
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ECONIS (ZBW)
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Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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