Journal of Credit Risk

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


This paper presents selected results from the theory of Markov copulae and some of their applications in finance.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: