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Financial modeling : a backward stochastic differential equations perspective

Crépey, Stéphane - 2013

Persistent link: https://www.econbiz.de/10009770436

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu - In: Review of Derivatives Research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10010867561

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10009627434

A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014

Persistent link: https://www.econbiz.de/10010359906

Bilateral counterparty risk under funding constraints - part I : pricing

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011347260

A Bottom-Up Dynamic Model of Portfolio Credit Risk : Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Bielecki, Tomasz R. - 2013

In this paper, we prove that the conditional dependence structure of default times in the Markov model of "A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective" belongs to the class of Marshall-Olkin copulas. This allows us to derive a factor representation in...

Persistent link: https://www.econbiz.de/10013083831