Authors: Tomasz R Bielecki, Stéphane Crépey, Tomasz R. Bielecki
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Crepey-Hedging-FINAL-amended.pdf.
Subject Terms: Key words, Counterparty Risk, Credit Risk, Credit Valuation Adjustment, Expected Positive Exposure, Collateralization, Markov Copula, Joint Defaults, Hedging
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.384.7390; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Crepey-Hedging-FINAL-amended.pdf
Availability: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Crepey-Hedging-FINAL-amended.pdf
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson_Markov-copula-stoch-int-rand-recov.pdf.
Subject Terms: Portfolio credit risk, Markov copula model, Common shocks, Stochastic
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.384.5482; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson_Markov-copula-stoch-int-rand-recov.pdf
Availability: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson_Markov-copula-stoch-int-rand-recov.pdf
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson_Markov-Copula-Common-Shock_Part-2.pdf.
Subject Terms: Portfolio credit risk, Basket credit derivatives, Markov copula model, Common shocks, Pricing, Calibration, Min-variance hedging
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.384.5061; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson_Markov-Copula-Common-Shock_Part-2.pdf
Availability: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson_Markov-Copula-Common-Shock_Part-2.pdf
Authors: Tomasz R. Bielecki, Areski Cousin, Er Herbertsson
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson-CREDITFLUX.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.648.4706; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson-CREDITFLUX.pdf
Availability: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/Bielecki-Cousin-Crepey-Herbertsson-CREDITFLUX.pdf
Authors: Tomasz R. Bielecki, Marek Rutkowski
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://math.iit.edu/~bielecki/publication/BR_1_July_5.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.368.1678; http://math.iit.edu/~bielecki/publication/BR_1_July_5.pdf
Availability: http://math.iit.edu/~bielecki/publication/BR_1_July_5.pdf
Authors: Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Er Herbertsson
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.acousin.net/Docs/Bielecki-Cousin-Crepey-Herbertsson-Part-1-2013.pdf.
Subject Terms: Portfolio credit risk, Credit derivatives, Markov copula model, Common shocks, Dynamic hedging
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.297.2929; http://www.acousin.net/Docs/Bielecki-Cousin-Crepey-Herbertsson-Part-1-2013.pdf
Availability: http://www.acousin.net/Docs/Bielecki-Cousin-Crepey-Herbertsson-Part-1-2013.pdf
Authors: Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, J Optim, Stéphane Crépey Alex, Er Herbertsson, T. R. Bielecki
Contributors: The Pennsylvania State University CiteSeerX Archives
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.477.573; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/JOTA_published.pdf
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.maths.univ-evry.fr/prepubli/291.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.627.1502; http://www.maths.univ-evry.fr/prepubli/291.pdf
Availability: http://www.maths.univ-evry.fr/prepubli/291.pdf
Authors: Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Contributors: The Pennsylvania State University CiteSeerX Archives
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.589.1702; http://www.maths.univ-evry.fr/pages_perso/jeanblanc/pubs/bcjr_CB3.pdf
Authors: Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Er Herbertsson
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.acousin.net/Docs/BCCH_Hedging_Common_Shocks.pdf.
Subject Terms: Portfolio Credit Risk, Basket Credit Derivatives, Min-Variance Hedging, Common Shocks Model, Markov Model, Markov Copula
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.225.6939; http://www.acousin.net/Docs/BCCH_Hedging_Common_Shocks.pdf
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/up_and_down_credit-REVISED.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.384.6272; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/up_and_down_credit-REVISED.pdf
Availability: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/up_and_down_credit-REVISED.pdf
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://hal.archives-ouvertes.fr/docs/00/39/80/75/PDF/rutkowski.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.399.7313; http://hal.archives-ouvertes.fr/docs/00/39/80/75/PDF/rutkowski.pdf
Authors: Tomasz R. Bielecki, Stéphane Crépey, Département De Mathématiques, Monique Jeanblanc, Marek Rutkowski
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/CB3.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.384.7217; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/CB3.pdf
Authors: Samson Assefa, Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Équipe Analyse Et Probabilité
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/I-C-3.pdf.
Subject Terms: Counterparty Credit Risk, CVA, collateralization, Markov Copula, Joint Defaults, CDS. Contents
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.384.6918; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/I-C-3.pdf
Authors: Bielecki Tomasz R, Monique Jeanblanc, Rutkowski Marek, Rutkowski Marek Valuation, Hedging Of Credit, Hal Id Cel, Tomasz R. Bielecki, Marek Rutkowski, Defaultable Zero-coupon Bond
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: https://cel.archives-ouvertes.fr/cel-00398075/document/.
Subject Terms: 1.1 Basic Assumptions. 9
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.hindawi.com/journals/jamsa/2009/695798.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.156.6482; http://www.hindawi.com/journals/jamsa/2009/695798.pdf
Availability: http://www.hindawi.com/journals/jamsa/2009/695798.pdf
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/I-B-3.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.156.4870; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/I-B-3.pdf
Authors: Tomasz R. Bielecki, Stéphane Crépey, Département De Mathématiques, Monique Jeanblanc, Marek Rutkowski
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/I-A-3.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.384.4394; http://grozny.maths.univ-evry.fr/pages_perso/crepey/papers/I-A-3.pdf
Contributors: The Pennsylvania State University CiteSeerX Archives
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.219.5325; http://www.maths.univ-evry.fr/pages_perso/jeanblanc/pubs/bcjr_up_and_down.pdf
Authors: Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Contributors: The Pennsylvania State University CiteSeerX Archives
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.215.4696; http://www.maths.univ-evry.fr/pages_perso/jeanblanc/pubs/bjr_CDS3.pdf