We consider the pricing of European structured products under a 'static' framework, particularly the Gaussian copula model (GCM). Being hedged continuously against individual spread moves with single name Credit Default Swaps, we calculate the associated replication errors. Therefore, we...

We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover, we study...