Markov Copulae Approach to Pricing and Hedging of Credit Index Derivatives and Ratings Triggered Step-Up Bonds
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Abstract: The paper presents selected results from the theory of Markov copulae and some of their applications in finance.
Keywords: Markov copula, credit index derivatives, ratings triggered step-up bonds.
Published in: Journal of Credit Risk, Vol. 4, No. 1, (Spring 2008), pp. 47-76.