Hedging default risks of CDOs in Markovian contagion models

Jean-Paul Laurent (), Areski Cousin () and Jean-David Fermanian
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Jean-Paul Laurent: ISFA - Institut de Science Financière et d'Assurances
Areski Cousin: ISFA - Institut de Science Financière et d'Assurances
Jean-David Fermanian: ENSAE - Ecole Nationale de la Statistique et de l'Analyse Economique - Ecole Nationale de la Statistique et de l'Analyse Economique

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Date: 2011-03-22
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Published in Quantitative Finance, 2011, 11 (12), pp.1773-1791. ⟨10.1080/14697680903390126⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03676198

DOI: 10.1080/14697680903390126

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