Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
Tomasz R. Bielecki, Andrea Vidozzi, Luca Vidozzi
Abstract
ABSTRACT
This paper presents selected results from the theory of Markov copulae and some of their applications in finance.
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