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Credit Derivatives

Credit Default Swaps with Correlated CIR++ Intensity and Interest Rate
CDO Pricing
Saddlepoint method for CDO Pricing
Implied Copula approach for pricing CDO’s
Stein method for CDO Pricing
Link between CDOs and Copulas
A dynamic approach to the modelling of credit derivatives using Markov chains
Portfolio losses and the term structure of loss transition rates
CDO Pricing method for affine point Hawkes processes
A Closed-form extension to Black-Cox formula
CDOs’ hedging in Markovian contagion models
Dynamic Hedging of Synthetic CDO Tranches with Default contagion
Default Contagion in Large Homogeneous Portfolios
Advanced credit portfolio modeling and CDO pricing Recovering portfolio default intensities implied by CDO quotes