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,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology

April 2007

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.

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