[图书][B] Dynamic copula methods in finance
The latest tools and techniques for pricing and risk management This book introduces
readers to the use of copula functions to represent the dynamics of financial assets and risk …
readers to the use of copula functions to represent the dynamics of financial assets and risk …
[图书][B] Counterparty risk and funding: A tale of two puzzles
S Crépey, TR Bielecki, D Brigo - 2014 - taylorfrancis.com
Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty
Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial …
Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial …
Markov chain models of portfolio credit risk
TR Bielelcki, S Crépey, A Herbertsson - 2011 - academic.oup.com
This article reviews a selection of methods and results for various applications of the theory
of continuous time Markov chains to valuation of credit derivatives. Section 2 begins with a …
of continuous time Markov chains to valuation of credit derivatives. Section 2 begins with a …
Financial modeling
S Crépey - Springer Finance, DOI, 2013 - Springer
This is a book on financial modeling that emphasizes computational aspects. It gives a
unified perspective on derivative pricing and hedging across asset classes and is addressed …
unified perspective on derivative pricing and hedging across asset classes and is addressed …
Conditional Markov chains: Properties, construction and structured dependence
TR Bielecki, J Jakubowski, M Niewęgłowski - Stochastic Processes and …, 2017 - Elsevier
In this paper we contribute to the theory of conditional Markov chains (CMCs) that take
finitely many values and that admit intensity. We provide a method for constructing a CMC …
finitely many values and that admit intensity. We provide a method for constructing a CMC …
Lévy copulas: review of recent results
P Tankov - The fascination of probability, statistics and their …, 2016 - Springer
We review and extend the now considerable literature on Lévy copulas. First, we focus on
Monte Carlo methods and present a new robust algorithm for the simulation of …
Monte Carlo methods and present a new robust algorithm for the simulation of …
Counterparty risk on a CDS in a Markov chain copula model with joint defaults
S Crépey, M Jeanblanc, B Zargari - Recent advances in financial …, 2010 - World Scientific
In this paper we study the counterparty risk on a payer CDS in a Markov chain model of two
reference credits, the firm underlying the CDS and the protection seller in the CDS. We first …
reference credits, the firm underlying the CDS and the protection seller in the CDS. We first …
About the pricing equations in finance
In this article we study a decoupled forward backward stochastic differential equation
(FBSDE) and the associated system of partial integro-differential obstacle problems, in a …
(FBSDE) and the associated system of partial integro-differential obstacle problems, in a …
[PDF][PDF] A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step–up bonds
TR Bielecki, A Vidozzi, L Vidozzi - J. of Credit Risk, 2008 - Citeseer
The paper presents selected results from the theory of Markov copulae and some of their
applications in finance.∗ This research was partially supported by NSF Grant DMS-0604789 …
applications in finance.∗ This research was partially supported by NSF Grant DMS-0604789 …
Extendibility of Marshall-Olkin distributions via Lévy subordinators and an application to portfolio credit risk
JF Mai - 2010 - mediatum.ub.tum.de
The family of exchangeable Marshall-Olkin distributions is investigated. From an analytical
perspective, coherences with completely monotone sequences are revealed. From the …
perspective, coherences with completely monotone sequences are revealed. From the …