Hedging CDO Tranches in a Markovian Environment

Areski Cousin (), Monique Jeanblanc () and Jean-Paul Laurent ()
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Areski Cousin: ISFA - Institut de Science Financière et d'Assurances
Monique Jeanblanc: UEVE - Université d'Évry-Val-d'Essonne
Jean-Paul Laurent: PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne

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Date: 2011
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Published in Paris-Princeton Lectures on Mathematical Finance 2010, 2003, Springer Berlin Heidelberg, pp.1-61, 2011, Lecture Notes in Mathematics, ⟨10.1007/978-3-642-14660-2_1⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679488

DOI: 10.1007/978-3-642-14660-2_1

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