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Alexander Herbertsson

Alexander Herbertsson

University of Gothenburg - Göteborg / Sweden
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 1136479
Göteborgs universitet
person_outline Alexander Herbertsson's MOST POPULAR ARTICLES
1-) Pricing kth-to-default swaps under default contagion: the matrix-analytic approach Journal of Computational Finance 12 (1), 49-78, 2008
2-) Pricing synthetic CDO tranches in a model with Default Contagion using the Matrix-Analytic approach Journal of Credit Risk 4 (4), 3-35, 2008
3-) Modelling default contagion using Multivariate Phase-Type distributions Review of Derivatives Research 14 (1), 1-36, 2011
4-) Dynamic hedging of portfolio credit risk in a Markov copula model Journal of Optimization Theory and Applications 161 (1), 90-102, 2014
5-) Markov chain models of portfolio credit risk The Oxford Handbook of Credit Derivatives, 327-382 (Chapter 10), 2011