6. Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice
Published Online: 7 SEP 2012
Copyright © 2011 Tomasz R. Bielecki, Damiano Brigo, and Frédéric Patras. All rights reserved.
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
How to Cite
Bielecki, T. R., Brigo, D. and Patras, F. (2011) Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice, in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118531839.ch6
- Published Online: 7 SEP 2012
- Published Print: 24 JAN 2011
Print ISBN: 9781576603581
Online ISBN: 9781118531839
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