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This paper studies a supply chain consisting of one supplier and n retailers. The market demand for each retailer is assumed to be dependent on the difference between the retail price and the average retail price. The supplier considers two wholesale price strategies. In the first strategy, Strategy I, the wholesale prices to all n retailers are the same. In the second strategy, Strategy II, different...
In this paper, we study the problem of hedging a basket credit derivatives, in particular, we are interested in basket default swaps. For the pricing of credit derivatives, we consider a factor Copula approach. Single-name credit default swaps will be chosen as the hedging instruments. The hedging mechanism is tested using simulated data with a given measure. Numerical results reveal the efficiency...
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